本文關(guān)鍵詞： 信息熵 羊群行為 CCK 最大熵 趨勢(shì)分析　出處：《山東大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：羊群行為是行為金融學(xué)的一個(gè)重要研究方向,主要是指投資者受到其他投資者的投資決策或投資偏好的影響,忽略個(gè)人信息或個(gè)人喜好,而做出與他人相似或一樣的投資策略的行為。金融市場(chǎng)中的羊群行為通常是指在某一特定時(shí)期,大量投資者采取相同投資策略或表現(xiàn)出相同投資決策偏好的行為。 羊群行為的發(fā)生是很多因素共同作用的結(jié)果,包括市場(chǎng)信息的不對(duì)稱(chēng)性、投資者厭惡風(fēng)險(xiǎn)、基金經(jīng)理的報(bào)酬機(jī)制等。眾多學(xué)者的研究發(fā)現(xiàn),羊群行為可以看作是金融危機(jī)爆發(fā)和市場(chǎng)崩塌的主要原因之一。近幾年,金融危機(jī)的陸續(xù)爆發(fā),使得羊群行為成為眾多研究者關(guān)注的重要課題之一 本文首先介紹了羊群行為的起源和發(fā)展,閘述了羊群行為的在金融市場(chǎng)中的形成原因及其類(lèi)別和特點(diǎn)等。然后,對(duì)國(guó)內(nèi)外現(xiàn)有的羊群行為相關(guān)文獻(xiàn)進(jìn)行綜述,并分析了現(xiàn)有研究方法的優(yōu)缺點(diǎn)。這些方法主要包括：LSV方法,PCM方法,CH方法和CCK方法。其次,結(jié)合現(xiàn)有的研究方法,以及對(duì)信息熵和最大熵理論的研究分析,本文試探性地捉出了羊群行為的基于信息熵的檢驗(yàn)?zāi)Ｐ秃挖厔?shì)分析模型。為了更好的研究比較,本文將市場(chǎng)收益率按照市市場(chǎng)走勢(shì)分為上漲和下跌兩個(gè)時(shí)問(wèn)段,并用CCK模型檢驗(yàn)了我國(guó)證券市場(chǎng)中羊群行為的存在性,將其檢驗(yàn)結(jié)果與我們所提出的新模型的結(jié)果進(jìn)行了對(duì)比分析。結(jié)果發(fā)現(xiàn),在我國(guó)證券市場(chǎng)中,羊群行為較為顯著,并且市場(chǎng)下跌時(shí)比.上漲時(shí)羊群行為表現(xiàn)得更為顯著。本文進(jìn)一步分析了羊群行為在我國(guó)市場(chǎng)中表現(xiàn)的變化趨勢(shì),發(fā)現(xiàn)我國(guó)證券市場(chǎng)的羊群行為有增強(qiáng)的趨勢(shì),并且在上漲階段增強(qiáng)的更快。本文對(duì)該實(shí)證結(jié)果產(chǎn)生的原因進(jìn)行了分析,并據(jù)此給對(duì)我國(guó)證券市場(chǎng)的發(fā)展給出了相關(guān)建議和意見(jiàn)。 最后,我們對(duì)本文的研究?jī)?nèi)容和方法進(jìn)行了總結(jié),并歸納了信息、熵方法的優(yōu)勢(shì),說(shuō)明基于信息熵的羊群行為檢驗(yàn)?zāi)Ｐ途哂锌尚行浴?br/>[Abstract]:Herding behavior is an important research direction in behavioral finance, which means that investors are influenced by other investors' investment decisions or preferences and ignore personal information or preferences. The herding behavior in financial market usually refers to the behavior that a large number of investors adopt the same investment strategy or show the same investment decision preference in a certain period of time. The occurrence of herding behavior is the result of many factors, including asymmetry of market information, risk aversion of investors, compensation mechanism of fund managers and so on. Herding behavior can be regarded as one of the main reasons of financial crisis and market collapse. In recent years, the outbreak of financial crisis has made herding behavior one of the most important topics that many researchers pay attention to. In this paper, the origin and development of herding behavior are introduced, and the causes, types and characteristics of herding behavior in financial market are described. The advantages and disadvantages of the existing research methods are analyzed. These methods mainly include the CCK method and the Ch method. Secondly, combining with the existing research methods, the information entropy and the maximum entropy theory are studied and analyzed. This paper tries to find out the information entropy based test model and trend analysis model of herding behavior. In order to better study and compare, the market yield is divided into two periods according to the market trend: rising and falling. The existence of herding behavior in China's securities market is tested by CCK model. The results of the test are compared with the results of the new model proposed by us. The results show that the herding behavior is more significant in China's securities market. This paper further analyzes the changing trend of herding behavior in Chinese market, and finds that the herding behavior of China's securities market has an increasing trend. This paper analyzes the causes of the empirical results and gives some suggestions and suggestions on the development of China's securities market. Finally, we summarize the research contents and methods of this paper, and sum up the advantages of information and entropy method, which shows that the herding behavior test model based on information entropy is feasible.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F224;F832.51

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