本文選題：羊群效應 + CCK模型�。� 參考：《復旦大學》2014年碩士論文

【摘要】：隨著社會經濟的發(fā)展,證券市場上風險因素層出不窮,有效市場利率因著周末效應小公司效應等等而不斷受到挑戰(zhàn)。人們發(fā)現(xiàn)市場套利的過程往往使得價格更加偏離證券的內在價值,造成這種現(xiàn)象的有許多原因,一些非理性心理因素正在影響著市場,追漲殺跌的羊群效應就是其中之一。在我國無論是A股市場還是H股市場,銀行股都有著十分重要的地位,在內地和香港兩地交叉上市的銀行股也比較多,遠遠大于其他板塊。香港是個成熟的市場,而內地滬深兩市興起不過二十多年,是個新興市場,不理性行為可能更多。因此我們認為將兩地的銀行股放在一起做比較是十分合適的。本文使用了分散度(Dt)指標、截面收益的絕對偏差(CSAD)指標,分別使用CH模型和CCK模型提出了兩種種檢驗羊群效應的方法。分別是通過判斷個股在市場極端上漲和下跌的情況下對市場的偏離程度的回歸系數(shù)來比較發(fā)現(xiàn)羊群效應是否存在。結果發(fā)現(xiàn)利用CH模型檢驗時在中國市場上存在熊市時銀行板塊羊群效應不明顯,而牛市時銀行板塊的羊群行為較為顯著的現(xiàn)象,并且比各個板塊分散度水平都要低。CCK模型則是利用個股截面收益的絕對偏差(CSAD)與投資回報率的非線性關系(即二次項系數(shù)顯著不為零)作為研究指標,來判斷羊群效應是否顯著。本文將市場投資回報率處于牛市和熊市的二次項回歸系數(shù)進行比較,發(fā)現(xiàn)銀行板塊的羊群行為在熊市和牛市情況下比之市場上所有公司的羊群行為更加集中。對于港股市場來說,大部分情況下羊群效應都不是十分明顯。最后將香港大陸兩地市場的換手率和市場投資回報率作了回歸分析,發(fā)現(xiàn)換手率同市場投資回報率成正相關關系,這就體現(xiàn)了兩市都存在著一定的羊群效應而內地一次項系數(shù)更高,也就是說其的羊群效應尤為明顯。這也體現(xiàn)了港股市場作為一個成熟的金融市場,投資者的投資行為會更加比較理性,因此羊群行為程度較低。
[Abstract]:With the development of social economy, the risk factors in the securities market emerge one after another, and the effective market interest rate is constantly challenged by the weekend effect of small firm effect and so on. People find that the process of market arbitrage often makes the price deviate from the intrinsic value of securities. There are many reasons for this phenomenon. Some irrational psychological factors are influencing the market. In China, both the A-share market and the H-share market, bank shares have a very important position, in the mainland and Hong Kong cross-listed banking stocks are also relatively large, far larger than other sectors. Hong Kong is a mature market, while the mainland's Shanghai and Shenzhen markets have only been around for more than two decades. They are emerging markets and may be more irrational. Therefore, we think it is appropriate to compare the banks' shares together. In this paper, the dispersion index (Dt) and the absolute deviation of cross section return (CSAD) are used to test herding effect by using Ch model and CCK model, respectively. By judging the regression coefficient of the deviation degree of individual stock to the market under the condition of extreme rise and fall of the market, we find out whether the herd effect exists or not. The results show that the herd effect of banking sector is not obvious in Chinese market when Ch model is used to test it, but the herd behavior of bank plate is more obvious in bull market. The CCK model is based on the nonlinear relationship between the absolute deviation of the return of individual stock section and the return on investment (i.e. the quadratic coefficient is significantly not zero) as the research index. To determine whether herding is significant. This paper compares the quadratic regression coefficients of return on investment between bull market and bear market. It is found that herd behavior in banking sector is more concentrated in bear market and bull market than that in all companies in the market. For the Hong Kong stock market, in most cases the herd effect is not very obvious. Finally, a regression analysis is made between the turnover rate and the return on investment in the mainland and Hong Kong markets, and it is found that the turnover rate has a positive correlation with the return on investment in the market. This shows that both cities have a certain herding effect, but the factor of primary item is higher in the interior, that is to say, the herding effect is especially obvious. This also reflects the Hong Kong stock market as a mature financial market, investors' investment behavior will be more rational, so the herd behavior is lower.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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相關期刊論文 前1條

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本文編號：1837645