本文選題：上證指數(shù)　切入點：GARCH模型族　出處：《蘭州大學》2014年碩士論文

【摘要】：我國的證券市場發(fā)展歷程比較短,正處于起步階段。在股票市場中,由于投機的盛行,股市必會暴漲暴跌,同時股價也會大起大落,這會給中小投資者的利益造成巨大的損失。而羊群行為就是引起股市波動的主要原因之一。因此,對羊群行為進行研究很有必要。 目前對羊群行為的研究,主要是借助各類數(shù)學模型。本文主要借助GARCH模型族和橫截面絕對偏離度(CSAD)與市場收益率(Rt)之間的關系對上證A股市場收益率進行實證分析,研究發(fā)現(xiàn)：上證A股市場在上漲時期的羊群行為力度比在下跌時期的羊群行為力度更要明顯。在不同的行業(yè)板塊中電信、綜合板塊的羊群行為明顯強于其他行業(yè)板塊,而食品飲料和鋼鐵板塊不存在羊群行為。在不同的地區(qū)板塊中,當指數(shù)處于上升時期,各地區(qū)板塊的羊群行為沒有差異,而當指數(shù)處于下跌時期,經(jīng)濟發(fā)達地區(qū)的羊群行為明顯強于經(jīng)濟落后的地區(qū)。在流通股本數(shù)不同的股票中,上漲時期小流通股本的股票羊群行為比較明顯；而在下跌時期,小流通股本數(shù)的股票卻比其他板塊的股票穩(wěn)定。
[Abstract]:China's securities market is in its infancy because of its short history.In the stock market, because of the prevalence of speculation, the stock market will rise and plummet, and share prices will also fluctuate, which will cause huge losses to the interests of small and medium-sized investors.Herd behavior is one of the main reasons for stock market volatility.Therefore, it is necessary to study herding behavior.At present, the research on herding behavior is mainly based on various mathematical models.Based on the relationship between the GARCH model family, the absolute deviation degree of cross section and the market rate of return (RT), this paper makes an empirical analysis on the market yield of A-shares in Shanghai Stock Exchange.The results show that the herding behavior of A stock market in Shanghai stock market is more obvious in the rising period than in the fall period.In different industry sectors, the herding behavior of composite plate is obviously stronger than that of other sectors, but there is no herding behavior in food, beverage and steel plate.In different regional plates, when the index is rising, there is no difference in herding behavior in different regions, but when the index is in the period of decline, the herding behavior of developed regions is obviously stronger than that of economically backward regions.In the stocks with different circulating capital, the herding behavior of the small circulation stock is obvious in the rising period, but in the falling period, the small circulation capital stock is more stable than the other stocks.
【學位授予單位】：蘭州大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F224

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本文編號：1715044