【摘要】：羊群行為是群體中個體之間相互作用、相互影響而產(chǎn)生的一致性行為。投資者的羊群行為是導(dǎo)致股票市場劇烈波動和引發(fā)市場系統(tǒng)性風(fēng)險(xiǎn)的一個重要原因。在相同條件下，小公司股票和大公司股票羊群行為存在明顯差異，創(chuàng)業(yè)板股票總股本和流通股本極小，極易被大資金操縱，成為一種投機(jī)工具。從實(shí)際市場表現(xiàn)可以看出，創(chuàng)業(yè)板市場股票股價波動劇烈，投機(jī)氣氛濃厚。以中國創(chuàng)業(yè)板市場存在顯著羊群行為為現(xiàn)實(shí)背景，結(jié)合行為金融學(xué)在“羊群行為”和“小公司效應(yīng)”的研究成果基礎(chǔ)上，運(yùn)用橫截面絕對偏離度（CSAD）方法和GARCH模型，實(shí)證檢驗(yàn)創(chuàng)業(yè)板市場羊群行為，在用相關(guān)系數(shù)分析、Granger因果關(guān)系檢驗(yàn)羊群行為度與股價波動關(guān)系基礎(chǔ)上，重點(diǎn)分析內(nèi)幕交易行為和貨幣流動性對創(chuàng)業(yè)板市場羊群行為的影響。針對創(chuàng)業(yè)板市場股票發(fā)行價過高、內(nèi)幕交易嚴(yán)重以及存在監(jiān)管漏洞這些問題建立博弈模型，對實(shí)證結(jié)果從主體的策略選擇角度進(jìn)行解釋。通過理論分析和實(shí)證研究所得到的結(jié)論是：中國創(chuàng)業(yè)板市場存在顯著的羊群行為，與其他市場相比，創(chuàng)業(yè)板市場羊群行為有自身的特性，存在一定程度的差異；創(chuàng)業(yè)板市場羊群行為受市場態(tài)勢的影響，在整體市場下跌階段，羊群行為極其強(qiáng)烈。實(shí)證檢驗(yàn)表明，羊群行為是創(chuàng)業(yè)板市場股價劇烈波動的重要因素，投機(jī)因素促使了股價的異常波動，基本面因素影響不顯著。創(chuàng)業(yè)板市場羊群行為的特性與過高的發(fā)行價、內(nèi)幕交易行為密切相關(guān)，最終導(dǎo)致股價對貨幣流動性極其敏感，在貨幣流動性收縮的背景下，創(chuàng)業(yè)板市場股票的高股價、高市盈率，導(dǎo)致了資金的爭相撤離。從博弈分析來看，機(jī)構(gòu)投資者對創(chuàng)業(yè)板股票的承銷與價格申報(bào)，更多考慮自身的獲利可能性和空間，而無視創(chuàng)業(yè)板股票的成長性大小，概念炒作從主板市場延伸到創(chuàng)業(yè)板市場。同時，，創(chuàng)業(yè)板市場存在政策缺失、監(jiān)管不到位，這助長了市場的過度投機(jī)情況。創(chuàng)業(yè)板市場的羊群行為，反應(yīng)出我國股票市場投資者的不成熟和跟風(fēng)行為的盛行，無論在一級市場或是二級市場，創(chuàng)業(yè)板股票的股價都容易被機(jī)構(gòu)操縱。監(jiān)管層應(yīng)該完善相關(guān)法律制度，打擊市場操縱行為，加強(qiáng)對市場的引導(dǎo)，防止股票價格和價值的過分背離；同時在一級市場上應(yīng)該循序規(guī)范發(fā)行新股，繼續(xù)推進(jìn)新股定價改革，建立和完善創(chuàng)業(yè)板股票的退市制度。
[Abstract]:Herding behavior is the consistent behavior caused by the interaction and interaction among individuals. The herding behavior of investors is one of the important reasons that lead to the volatility of stock market and the systemic risk of stock market. Under the same conditions, there are obvious differences in herd behavior between small company stock and large company stock. The total share capital and circulating stock of gem stock are very small, so they are easily manipulated by large capital and become a kind of speculative tool. From the actual market performance can be seen, gem stock price volatility, strong speculative atmosphere. Based on the research results of herding behavior and "small company effect" in China's gem market, this paper uses the (CSAD) method of absolute deviation degree of cross section and GARCH model, based on the research results of "herd behavior" and "small company effect" in China's gem market. Based on the empirical analysis of the relationship between herding behavior and stock price volatility, the paper analyzes the influence of insider trading and currency liquidity on herding behavior in gem market with the correlation coefficient analysis of Granger causality. In view of the problems of excessive IPO price, serious insider trading and the existence of regulatory loopholes in the gem market, the game model is established, and the empirical results are explained from the perspective of the main body's strategic choice. The conclusions obtained by theoretical analysis and empirical research are as follows: there is remarkable herding behavior in China's gem market, and compared with other markets, gem market has its own characteristics and some differences to some extent; The herding behavior of gem market is influenced by market situation, and the herd behavior is extremely strong at the stage of overall market decline. The empirical test shows that herd behavior is an important factor of the sharp fluctuation of the gem stock price, speculative factors promote the abnormal volatility of the stock price, and the influence of fundamental factors is not significant. The characteristics of herd behavior in the gem market are closely related to the excessive issuance price and insider trading behavior, which ultimately lead to the stock price being extremely sensitive to monetary liquidity. Under the background of the contraction of monetary liquidity, the gem market has a high share price. High price-earnings ratio, led to a scramble for the withdrawal of funds. From the game analysis, institutional investors pay more attention to the possibility and space of their own profit, but ignore the growth of gem, and the concept of speculation extends from the main board market to the gem market. At the same time, there is a lack of policy and regulation in the gem market, which contributes to excessive speculation in the market. The herd behavior in the gem market reflects the immature behavior of investors in our stock market and the prevalence of following the trend. Whether in the primary market or the secondary market, the gem stock price is easily manipulated by institutions. Regulators should improve relevant legal systems, crack down on market manipulation, strengthen guidance to the market, and prevent excessive deviations in stock prices and values; at the same time, they should standardize the issuance of new shares in a first-level market and continue to push forward new share pricing reform. To establish and improve the gem stock delisting system.
【學(xué)位授予單位】：西北師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51

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