本文選題：羊群效應(yīng) + 創(chuàng)業(yè)板��； 參考：《江西財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：資本市場上的羊群行為是一種非理性行為,它會影響市場的價(jià)格發(fā)現(xiàn)功能和資源配置功能,導(dǎo)致股票價(jià)格偏離其合理的價(jià)格,加劇股價(jià)的波動,不利于市場的穩(wěn)定,因此研究資本市場的羊群效應(yīng)具有重要意義。近年來,在我國的股票市場上,中小板市場和創(chuàng)業(yè)板市場越來越受到廣泛的關(guān)注,政府更是大力地支持中小板市場和創(chuàng)業(yè)板市場的發(fā)展,明確提出要加快中小板市場和創(chuàng)業(yè)板市場的發(fā)展,增加中小企業(yè)直接融資規(guī)模。這主要?dú)w咎于中小企業(yè)通過銀行等金融機(jī)構(gòu)間接融資遇到較大的困難,中小板市場與創(chuàng)業(yè)板市場在解決中小企業(yè)融資難、構(gòu)建中小企業(yè)金融支持體系方面發(fā)揮越來越重要的作用。羊群效應(yīng)作為行為金融理論一個(gè)方面,會對股票市場價(jià)格產(chǎn)生影響,進(jìn)而對中小企業(yè)融資產(chǎn)生影響,因此研究我國中小板市場和創(chuàng)業(yè)板市場的羊群效應(yīng)對于中小板市場和創(chuàng)業(yè)板市場的發(fā)展具有重要的意義。對于創(chuàng)業(yè)板市場來說,一方面,我國主板市場成立較早,上市公司多為大型成熟企業(yè),很大程度上能夠反映經(jīng)濟(jì)發(fā)展?fàn)顩r,另一方面,中小板市場是為建立創(chuàng)業(yè)板市場做準(zhǔn)備,只是創(chuàng)業(yè)板市場的過渡。因此研究創(chuàng)業(yè)板市場與主板市場的羊群效應(yīng)更具有意義,通過研究這兩個(gè)市場的羊群效應(yīng),能夠更深層次地發(fā)現(xiàn)我國股票市場羊群效應(yīng)產(chǎn)生的原因,能得出更有意義的結(jié)論。 本文首先介紹國內(nèi)外關(guān)于羊群效應(yīng)方面研究的相關(guān)文獻(xiàn),國內(nèi)外學(xué)者主要采用三種方法檢驗(yàn)資本市場的羊群效應(yīng),即檢驗(yàn)基金經(jīng)理羊群效應(yīng)的LSV方法,檢驗(yàn)投資者之間羊群效應(yīng)的CH方法和CCK方法。CH方法和CCK方法都是檢驗(yàn)投資者之間羊群效應(yīng)的方法,CH方法認(rèn)為,當(dāng)股市存在羊群效應(yīng)時(shí),個(gè)股收益率的橫截面標(biāo)準(zhǔn)偏差CSSD隨絕對市場收益率的增大而減小。但需要指出的是,要想使得個(gè)股收益率的橫截面標(biāo)準(zhǔn)偏差CSSD隨絕對市場收益率的增大而減小,只有當(dāng)大部分的投資者都表現(xiàn)出強(qiáng)烈的羊群行為時(shí)才有可能。因此,CH模型只能檢測到嚴(yán)重的羊群效應(yīng),往往難以檢測到市場中存在的輕微的羊群效應(yīng),而CCK方法克服了這個(gè)缺陷,它采用橫截面絕對偏離度CSAD來檢驗(yàn)羊群效應(yīng),當(dāng)市場中的羊群效應(yīng)不嚴(yán)重時(shí),橫截面絕對偏離度CSAD依舊隨著市場收益率的升降而增減但速率將減緩,即二者間會呈現(xiàn)出非線性關(guān)系。因此,CCK模型更能敏銳地捕捉到輕微的羊群行為。鑒于此,本文采用了CCK方法來檢驗(yàn)我國創(chuàng)業(yè)板市場和深圳主板市場的羊群效應(yīng),此外,還采用了HS方法檢驗(yàn)羊群效應(yīng)的程度變化,當(dāng)貝塔系數(shù)橫截面離散度H_t出現(xiàn)顯著減小時(shí),則說明羊群效應(yīng)的程度逐漸增強(qiáng)。我們以滬深300價(jià)格指數(shù)收益率作為市場收益率,以2010年7月5日到2012年1月6日為樣本區(qū)間,并分為2010年7月5日到2010年11月5日的滬深300價(jià)格指數(shù)上漲階段、2010年11月8日到2011年4月8日的滬深300價(jià)格指數(shù)調(diào)整階段和2011年4月11日到2012年1月6日的滬深300價(jià)格指數(shù)下跌階段,以分別檢驗(yàn)上漲階段和下跌階段的羊群效應(yīng)。在樣本數(shù)據(jù)方面,選取RESSE金融研究數(shù)據(jù)庫提供的樣本區(qū)間開始的時(shí)點(diǎn)即2010年7月5日創(chuàng)業(yè)板價(jià)格指數(shù)成份股和深圳成份指數(shù)成份股的周收益率數(shù)據(jù)和日收益Beta240滾動數(shù)據(jù),以及作為市場收益率的滬深300價(jià)格指數(shù)周收益率數(shù)據(jù)。其次通過CCK方法檢驗(yàn)創(chuàng)業(yè)板和深圳主板市場是否存在羊群效應(yīng),即檢驗(yàn)個(gè)股收益率相對于市場收益率的橫截面絕對偏離度CSAD與市場收益率之間是否存在非線性關(guān)系,接著采用HS方法檢驗(yàn)羊群效應(yīng)的程度變化,結(jié)果表明在市場上漲階段深圳主板市場和創(chuàng)業(yè)板市場中都存在羊群效應(yīng),而且兩個(gè)市場隨著市場指數(shù)的上漲,羊群效應(yīng)程度在增強(qiáng)；在市場下跌階段只有深圳主板市場存在羊群效應(yīng),而且羊群效應(yīng)剛開始并無增強(qiáng),其后突然大幅度增強(qiáng),而后又逐漸減弱。最后對比分析創(chuàng)業(yè)板市場和深圳主板市場的羊群效應(yīng)及其程度變化,主要有六個(gè)方面導(dǎo)致羊群效應(yīng)的產(chǎn)生,分別是做空機(jī)制不健全、信息不對稱、政策干預(yù)、基金經(jīng)理的羊群行為、投資者行為的非理性以及技術(shù)分析面。針對這六個(gè)方面,為防止羊群效應(yīng)帶來的不良影響,本文給政府監(jiān)管者和投資者提出一些建議。
[Abstract]:Herd behavior on the capital market is a non rational behavior, it will affect the market price discovery function and resource allocation function, causes the stock price deviate from its reasonable price, increasing the price fluctuations, is not conducive to the stability of the market, so the research has important significance of herding in the capital market. In recent years, in our country the stock market, small and medium-sized board market and the GEM market attracts more and more attention, the government is developing vigorously support the small and medium-sized board market and the GEM market, clearly put forward to accelerate the development of small and medium-sized board market and the GEM market, increase direct financing of small and medium-sized enterprises scale. This is mainly attributed to the small and medium-sized enterprises have greater the difficulty of indirect financing through banks and other financial institutions, small and medium-sized board market and the GEM market to solve the financing difficulties of SMEs, constructing the financial supporting system for SMEs has played more and more An important role. As a herding behavior finance theory, will have an impact on the stock market price, and the financing of small and medium-sized enterprises have an impact, so the herd effect study of small and medium-sized board market and the GEM market has important significance for the development of small and medium-sized board market and the GEM market for the GEM market. On the one hand, China's main market, set up earlier, listed companies are mostly large enterprises, largely reflecting the status of economic development, on the other hand, the small and medium-sized market is preparing for the establishment of the GEM market, but the transition of the GEM market. So the study of herding gem and the main board market is more through the research significance, the herding of the two markets, to further found the causes of herding of stock market in our country, can draw more meaningful conclusions.
This paper first introduces the relevant literatures on the study of herding herding both at home and abroad, scholars at home and abroad mainly adopts three kinds of methods to test the capital market, LSV method test fund manager herding, investors herding test between CH method and CCK method,.CH method and CCK method are the test between investors herding CH, argues that when there is herding in the stock market, stock returns increase cross-sectional standard deviation CSSD with the absolute market return rate decreases. But it should be noted that, in order to make a cross section of the standard deviation of CSSD yield with the increase of the absolute market return rate decreases, only when most of the investors have shown herd behavior when possible. Therefore, CH model can only detect herding is serious, often difficult to detect in the market slightly Herding, while the CCK method overcomes this defect, it uses cross-sectional absolute deviation of CSAD to test the herd when herding in the market is not serious, CSAD CSAD still with lifting market yields increased or decreased but the rate will slow down, which is between the two will be showing a linear relationship. Therefore, the CCK model can be more keen to capture the herding behavior of minor. In view of this, this paper uses CCK method to test the herding effect, China's GEM market and Shenzhen stock market in addition, also uses the HS method to test the change degree of herding, when the dispersion H_t beta cross-section significantly reduced then, the degree of herding effect gradually. Our price in Shanghai and Shenzhen 300 index return as the market rate of return from July 5, 2010 to January 6, 2012 as the sample interval, and divided into July 5, 2010 to 2010 In November 5th, the CSI 300 price index rose from November 8, 2010 to April 8, 2011, the Shanghai and Shenzhen 300 index price adjustment stage and from April 11, 2011 to January 6, 2012 in Shanghai and Shenzhen stock price index fell 300, to test the herding rising stage and decline stage. In the sample data, select the RESSE financial research database provides sample point that business in July 5, 2010 plate price index and Shenzhen component index constituent stocks of the weekly return data and daily return Beta240 rolling data, as well as the market returns of Shanghai and Shenzhen 300 index price weekly return data. By using the CCK method for the determination of the gem and the main board of the Shenzhen market whether there is herding, which is to check stock returns relative to the cross section of the market rate of return the absolute deviation exists between the nonlinear CSAD and degree of market return The relationship between degree of change, then use HS method to test herding effect, the results show that the market prices have the effect of herding in Shenzhen main board market and the GEM market, and two of the market as the market index rose, herding in the degree of enhancement; when the market is declining, only Shenzhen motherboard market exists herding, and the herd effect just did not start the enhancement, then suddenly greatly increased, and then decreased gradually. Finally, comparative analysis of herd effect and degree of change of the GEM market and Shenzhen stock market, there are six main aspects in herding, are short of the mechanism is not perfect, information asymmetry, policy intervention, the herd behavior of fund managers, non the rational and technical analysis of investor behavior. Aiming at these six aspects, in order to prevent the adverse effects of herd effect brought about by the government regulators Some suggestions are made with investors.

【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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