A股、H股市场羊群行为实证研究

本文采用分散度指标和偏离度指标对2005-2008年间交叉上市A股和H股市场的羊群行为进行了实证检验．发现A股市场存在羊群效应，但未发现H股市场上的羊群效应。本文认为两地市场在投资者理念、市场结构、信息披露、政府监管方面的差异是造成这种差异的根源，并在此基础上提出了政策建议。本文的研究将对企业在两地市场上投融资，各类投资者规避风险获得稳定收益，两地金融市场的一体化乃至中国资本市场的长远发展具有一定指导意义。

Empirical Study on Herd Behavior on A-share and H-share Markets

This paper empirically studies formation of herd behavior on cross-listed A-share and H-share markets from 2005 to 2（108 with CSSD and CSAD. No evidence of herding on the part of market participants on H-share market has been found, but signi？ cant evidence of herding is documented on the part of those on A-share market. This paper proposes that such differences as investor mentality, market structure, information disclosure and government supervi- sion on the two stock markets may well account for the above results, and puts forward some poliey recommendations based on the previous analysis. This study will be an important supplement to market segmentation study, and also car ties significant importance in facilitating investment and financing decisions by firms on the two markets, avoiding risks and acquiring handsome profits by various types of investors, the integration of the two financial markets and the long-term development of China＇s capital markets.