沪深300指数羊群效应研究

通过研究行为金融学的经典现象——羊群效应,并运用CCK模型和CH模型对沪深300指数成分股的羊群效应进行实证检验。研究发现,在所选的数据区间内,沪深300指数成分股之间的羊群效应现象并不明显;在对上升市和下降市的子样本检验过程中发现,上升市中存在一定的羊群效应,下降市中没有明显的羊群效应现象。

Study on the Herding Effect of HS300

This paper studies the phenomenon of a classic behavioral finance-herding effect.We make empirical test of herding behavior in Shanghai and Shenzhen 300 Index by CCK model and the CH model.We find that in the selected data range,the herding behavior in the HS300 is not so obvious;by the analyst in the sub-samples of ascension market and descend market,we conclude that herding exists in the ascension market to some degree,while there is no obvious herding phenomenon in the descend one.