我国股票市场羊群行为的实证分析

运用CSAD（横截面绝对收益率偏离度）指标对市场整体收益率进行回归的方法,对样本区间沪、深股市所有上市公司股票收盘价数据进行整体和分阶段的实证分析,发现在样本期间内,我国股票市场在整体上存在显著的羊群行为,并且羊群行为存在一个减少的趋势。从市场分组研究发现,在市场上涨情形下存在类似的羊群行为和类似的发展趋势,而在市场下跌情形下羊群行为呈现出不同的特征,存在一个由不显著到显著逐步递增的趋势。

An Empirical Analysis of Herding Behavior in Chinese Stock Market

This paper divides the whole sample period into two parts and examines the herding behavior of the stock market by applying cross-section absolute deviation of return（CSAD） to the security return dispersion as a function of the aggregate market return.Across the sample periods,we find evidence for obvious existence of herding behavior in Chinese stock market generally and a decreasing trend.From the study by grouping,we find similar characteristics in the up market whereas in the down market,the herding behavior takes a different form with an ever increasing trend from non-significant to significant.