本文選題：創(chuàng)業(yè)板 + 羊群行為�。� 參考：《中國科學技術大學》2017年碩士論文

【摘要】：羊群行為是市場監(jiān)管部門重點關注的問題,它可能會導致市場收益率的大幅波動,從而破壞金融市場的穩(wěn)定性。2015年我國股市經歷了極端市場的情況,潛在的羊群行為可能加劇了市場的波動。已有的研究表明,羊群行為在市場大幅波動期間更容易出現(xiàn),且在新興市場中表現(xiàn)更明顯。創(chuàng)業(yè)板市場作為主板市場的重要補充,以成長型公司股票為主,發(fā)展時間較短,因此研究其羊群行為具有重要意義�；谑找媛实臋M截面絕對值偏離度(Cross-Sectional Absolute Deviation,CSAD)與市場收益率的正相關關系,本文檢驗了創(chuàng)業(yè)板市場的羊群行為,重點探索了市場環(huán)境、公司特征、行業(yè)因素與羊群行為的關系以及跨市場間羊群行為的傳染。同時還基于變點模型對時間進行分段,研究了創(chuàng)業(yè)板市場羊群行為的變化。研究結果顯示,我國創(chuàng)業(yè)板市場存在明顯的羊群行為,并且該行為是一種短期現(xiàn)象。同時,市場環(huán)境對羊群行為存在不對稱的影響,當市場交易量低或波動率高時,羊群行為更明顯。從個股特征的角度出發(fā),在小盤股、長期收益率低的股票和換手率低的股票中羊群行為更明顯。進一步,本文發(fā)現(xiàn)公用事業(yè)類股票不存在羊群行為,其他行業(yè)股票存在羊群行為。對比A股與創(chuàng)業(yè)板的羊群行為,后者的羊群行為更強,且受到A股市場單方面的影響。最后,本文根據(jù)變點模型對時間進行分段,發(fā)現(xiàn)在前三段市場相對平穩(wěn)的時期中創(chuàng)業(yè)板不存在羊群行為,但在最后一段時期中由于極端市場的出現(xiàn),羊群行為變得顯著。本文的研究成果對于監(jiān)管部門防范與抑制羊群行為提供了支持,也為投資者的決策提供了參考。
[Abstract]:Herding behavior is a major concern of market regulators. It may lead to large fluctuations in market yields, thus undermining the stability of financial markets. China's stock market experienced extreme market conditions in 2015. Potential herding may exacerbate market volatility. Existing studies have shown that herd behaviour is more likely to occur during periods of market volatility and is more pronounced in emerging markets. As an important supplement to the main board market, the gem market is mainly composed of growth companies and has a short development time, so it is of great significance to study herding behavior. Based on the positive correlation between cross-sectional absolute value deviation and market yield, this paper examines herding behavior in gem market, and probes into market environment and company characteristics. The relationship between industry factors and herding behavior and the transmission of herding behavior across markets. At the same time, the change of herding behavior in gem market is studied based on the change point model. The results show that there is obvious herding behavior in China's gem market, and this behavior is a short-term phenomenon. At the same time, the market environment has an asymmetric effect on herding behavior. When the market volume is low or volatility is high, herding behavior is more obvious. From the point of view of the characteristics of individual stocks, herding behavior is more obvious in small-cap stocks, stocks with low long-term yield and stocks with low turnover rate. Furthermore, this paper finds that herding behavior does not exist in public utility stocks, but in other industries. Comparing the herding behavior of A-share and gem, the herding behavior of the latter is stronger and influenced by the A-share market unilaterally. Finally, according to the change point model, we segment the time and find that there is no herding behavior in the growth enterprise market in the first three periods, but in the last period, because of the emergence of the extreme market, the herding behavior becomes obvious. The research results of this paper provide support for regulators to prevent and suppress herding behavior, and also provide a reference for investors to make decisions.
【學位授予單位】：中國科學技術大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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本文編號：1958319