本文選題：羊群 + 實(shí)證　； 參考：《山東大學(xué)》2013年碩士論文

【摘要】：由于行為金融學(xué)對經(jīng)典金融學(xué)的突破,使得羊群效應(yīng)與反羊群效應(yīng)成為一個重要研究方向。證券市場的穩(wěn)定性和運(yùn)行效率都與羊群效應(yīng)與反羊群效應(yīng)緊密相連,為了保障我國證券市場的又快又好的發(fā)展,故對其進(jìn)行實(shí)證研究是十分必要的。迄今為止,國內(nèi)外對反羊群效應(yīng)的研究尚在分析投資者行為原因的模型上,沒有檢驗(yàn)證券市場的實(shí)證模型,本文在這方面進(jìn)行了嘗試和創(chuàng)新,在信息熵的基本理論基礎(chǔ)上,提出了相對熵的反羊群效應(yīng)實(shí)證模型。 首先,本文介紹了有關(guān)羊群效應(yīng)和反羊群效應(yīng)的基本理論,包括產(chǎn)生背景、定義和特點(diǎn),并對國內(nèi)外的相關(guān)文獻(xiàn)進(jìn)行了系統(tǒng)的梳理。 其次,在實(shí)證研究方面,本文采用CH模型、CCK模型、HS模型分別對我國上海證券市場總體進(jìn)行了實(shí)證研究,發(fā)現(xiàn)我國上海證券市場存在顯著的羊群效應(yīng),進(jìn)一步根據(jù)上海證券大盤走勢圖選取明顯的牛市和熊市兩個時(shí)間段再次分別進(jìn)行實(shí)證研究,發(fā)現(xiàn)當(dāng)市場處于大跌時(shí),更容易發(fā)生顯著的有意羊群效應(yīng),而當(dāng)市場處于大漲時(shí)有意羊群效應(yīng)并不顯著存在,這說明我國股民有“殺跌”的傾向。 再次,本文在信息熵的基本理論之上,為了能夠檢驗(yàn)證券市場中的反羊群效應(yīng)的存在性,提出了基于相對熵的反羊群效應(yīng)的實(shí)證模型,并對我國上海證券市場進(jìn)行了實(shí)證檢驗(yàn),得出我國證券市場在上漲市場和下跌市場均存在顯著的反羊群效應(yīng)的結(jié)論。 最后,本文從羊群效應(yīng)與反羊群效應(yīng)的實(shí)證結(jié)果分析獲得了一些啟示：認(rèn)為我國證券市場還尚未成熟,體制尚未完善,我國股民由于缺乏信息而不夠理智,為保證我國證券市場快速穩(wěn)定的發(fā)展,提出了幾點(diǎn)建議和有關(guān)羊群效應(yīng)和反羊群效應(yīng)的繼續(xù)研究方向。
[Abstract]:Because of the breakthrough of behavioral finance to classical finance, herding and anti-herding have become an important research direction. The stability and efficiency of the securities market are closely related to the herding effect and the anti-herding effect. In order to ensure the rapid and good development of the securities market in China, it is very necessary to conduct an empirical study on it. Up to now, the research on anti-herding effect at home and abroad is still on the model of analyzing investors' behavior reasons, and there is no empirical model to test the stock market. This paper tries and innovates in this respect, based on the basic theory of information entropy. An empirical model of relative entropy against herding effect is proposed. Firstly, this paper introduces the basic theories of herding and anti-herding, including the background, definition and characteristics of herding, and systematically combs the relevant literature at home and abroad. Secondly, in the aspect of empirical research, this paper uses Ch model / CCK model / HS model to study Shanghai stock market as a whole, and finds that there is remarkable herding effect in Shanghai stock market. Further more, according to the market trend chart of Shanghai Securities, two distinct periods of bull market and bear market are selected to carry out empirical research again, and it is found that when the market is in a sharp decline, it is more likely to have significant intentional herding effect. However, when the market is in a big rise, the intentional herding effect does not exist significantly, which indicates that Chinese investors have the tendency to "kill down". Thirdly, based on the basic theory of information entropy, in order to test the existence of anti-herding effect in securities market, this paper puts forward an empirical model of anti-herding effect based on relative entropy, and makes an empirical test on Shanghai stock market in China. It is concluded that there are significant anti-herding effects in both the rising market and the falling market in China's securities market. Finally, this paper obtains some enlightenment from the empirical analysis of herding effect and anti-herding effect: the stock market in our country is not mature, the system is not perfect, and the investors in our country are not rational because of the lack of information. In order to ensure the rapid and stable development of China's securities market, several suggestions and the direction of further research on herding and anti-herding are put forward.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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