中国A股市场羊群行为的实证分析

以2010年至2018年A股市场数据为样本,实证检验了中国A股市场的羊群行为。研究发现:第一,沪深两市没有检测到显著的羊群行为,从公司规模和性质来看,上证超大盘市场和上证央企市场存在羊群行为,小规模和民企市场不存在羊群行为;第二,市场暴涨暴跌期间容易产生羊群行为,且上涨行情和下跌行情的羊群行为不对称,下跌时更容易产生羊群行为;第三,B股市场涨跌对A股市场投资者的羊群行为具有一定抑制作用。基于此,提出如下建议:一方面,对个人投资者而言,应当时刻保持风险意识,加强对投资理财知识的学习,避免盲目跟风,追涨杀跌;另一方面,对政府监管部门而言,积极开展投资教育活动,培养投资者理性投资的良好习惯,同时加强市场监管,完善市场交易制度,防止出现市场暴涨暴跌行情。

The Empirical Study of Herding Behavior in Chinese A-share Market After Financial Crisis

Herding behavior may cause assets to be mispricing and then lead to bubbles and crashes.This article empirically studies the existence of investor herding behavior in Chinese A-share market after financial crisis,the results indicate that,first,during the stable period,the herding behavior is not significant except for large companies and government-owned enterprises,but during the fluctuation period herding behavior strongly exists in the market;Second,investors exhibit asymmetry in different market conditions.Herding behavior is more pronounced under condition of declining markets;Third,herding behavior is not affected by the return of B-share.Based on these conclusions,we suggest regulators should strengthen the supervision of market,develop investment educations,punish the rumormongers and reduce administrative interferences.Investors should keep risk consciousness,learn some knowledge of investment and avoid trend-pursued.