本文選題：羊群效應(yīng)　切入點：CCK模型　出處：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：隨著現(xiàn)代證券市場發(fā)展,股價水平越來越顯著地能夠反映整個金融體系乃至宏觀經(jīng)濟的運作情況。在金融系統(tǒng)逐漸成熟的同時,其監(jiān)管不完善、信息不對稱等原因使股市出現(xiàn)了異象,經(jīng)典的資產(chǎn)定價模型(CAPM)已不能準確地反映股票價格的波動情況,于是,行為金融學(xué)將投資者在決策過程中的非理性心理因素納入考慮范圍,進一步分析股市異象的具體產(chǎn)生機制。在一系列股市異象中,羊群效應(yīng)作為一個普遍現(xiàn)象,影響著整體市場的發(fā)展。 到目前為止,學(xué)界有較多對投資者羊群效應(yīng)的分析和研究,關(guān)于各種市場的羊群效應(yīng)的檢驗也是收獲頗豐。而這些研究較多地集中于發(fā)達國家的機構(gòu)投資者的研究,對于發(fā)展中國家中小投資者的羊群效應(yīng)存在與否,或者是羊群效應(yīng)的強弱程度,一直缺乏一個較為明晰的結(jié)論。另一方面,非理性因素對羊群效應(yīng)究竟有一個怎樣的影響路徑,目前的研究都未涉及。而中國作為剛起步的股票市場,其非理性投資者占比較大。本文將中國股票市場具有代表性的一系列股票作為一個整體,在考慮不同股票的規(guī)模效應(yīng)的基礎(chǔ)上,來分析羊群效應(yīng)的存在情況及其強弱程度,并進一步考慮非理性因素對于羊群效應(yīng)具體的影響程度。 為此,本文用CCK檢驗?zāi)Ｐ蛯ι献C180指數(shù)成份股的收益率進行實證檢驗,并加以調(diào)整,創(chuàng)新性地改變了多項式回歸模型中的市場收益率與股票收益率偏離程度(CSAD)傳統(tǒng)的等權(quán)重的計算方法,加入市值權(quán)重,并且基于不同的時間跨度分別進行檢驗,對不同時間跨度的羊群效應(yīng)進行比較并分析原因。另外,基于CCK模型的檢驗結(jié)果,本文提出了一個用以指示長期羊群效應(yīng)強弱程度路徑的短期指標,即個股偏離加速度,并將該指標對市場上的噪音交易進行相關(guān)性檢驗,得到在不同市場下該偏離加速度與噪音交易之間存在一定的相關(guān)關(guān)系,并對其結(jié)果進行分析。最后,在實證結(jié)果的基礎(chǔ)上,對中國市場股票投資策略提出了相應(yīng)的建議。
[Abstract]:With the development of the modern securities market, the stock price level can reflect the whole financial system and even the macro economy.At the same time when the financial system is maturing, some reasons, such as imperfect supervision and asymmetric information, make the stock market appear abnormal. The classical asset pricing model (CAPMM) can no longer accurately reflect the fluctuation of stock price.Behavioral finance takes the irrational psychological factors of investors in the decision-making process into consideration, and further analyzes the concrete mechanism of stock market anomalies.In a series of stock market anomalies, herding, as a common phenomenon, affects the development of the market as a whole.Up to now, there are many researches on the herding effect of investors in academic circles, and the test of herding effect in various markets is also fruitful.However, most of these studies focus on institutional investors in developed countries, and there is a lack of a clear conclusion about the existence of herding effect or the degree of herding effect of small and medium-sized investors in developing countries.On the other hand, what kind of influence path does irrationality have on herding effect has not been studied at present.China, as a fledgling stock market, accounts for a large proportion of its irrational investors.In this paper, a series of representative stocks in Chinese stock market are considered as a whole, and on the basis of considering the scale effect of different stocks, we analyze the existence of herding effect and the degree of herding effect.Furthermore, the degree of influence of irrational factors on herding effect is further considered.Therefore, this paper uses the CCK test model to test the yield of Shanghai 180 index and adjust it.It innovatively changes the traditional equal weight calculation method of market return and stock return deviation degree in polynomial regression model, adds market value weight, and tests it based on different time span.The herding effect in different time span was compared and the reasons were analyzed.In addition, based on the test results of CCK model, this paper puts forward a short-term index to indicate the long-term herding effect intensity path, that is, the stock deviation acceleration, and carries on the correlation test to the noise trade in the market.It is obtained that there is a certain correlation between the deviation acceleration and the noise transaction in different markets, and the results are analyzed.Finally, on the basis of the empirical results, the paper puts forward the corresponding suggestions on the stock investment strategy in China market.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1722168