本文關(guān)鍵詞：中國股票市場板塊內(nèi)羊群行為的實證研究　出處：《安徽大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股票市場 板塊 羊群行為 實證研究

【摘要】：隨著我國市場經(jīng)濟的快速發(fā)展,股票市場的規(guī)模得以不斷擴大,證券監(jiān)管和發(fā)行制度也日漸完善,市場整體的穩(wěn)定性大大增強了。近幾年來,市場指數(shù)一直處于震蕩和小幅下跌態(tài)勢,下跌和上漲的幅度均不大,但同一時期一些板塊卻大幅上漲和下跌。在這些板塊中很有可能存在著比整體市場更加強烈的羊群行為,故本文未將整體市場作為研究對象,而是從板塊的視角考察了股票市場上特殊證券組合的羊群行為。 本文先對羊群行為和板塊現(xiàn)象進行了概述,總結(jié)了四種經(jīng)典的羊群行為形成理論,比較分析了四種常見的實證方法。接著選擇特定資產(chǎn)組合的羊群行為模型,利用大智慧投資家、國泰安金融數(shù)據(jù)庫以及銳思金融研究數(shù)據(jù)庫采集2006年8月至2012年4月相關(guān)數(shù)據(jù),從行業(yè)、區(qū)域以及概念板塊三個方面,對板塊內(nèi)羊群行為的存在、強弱以及規(guī)律性等進行了研究,結(jié)果發(fā)現(xiàn)大部分板塊內(nèi)均存在明顯的羊群行為。其中行業(yè)板塊的羊群行為程度較2006年前有所降低；經(jīng)濟越發(fā)達的區(qū)域板塊內(nèi)羊群行為越不明顯,西部地區(qū)和皖江及周邊中部區(qū)域板塊內(nèi)表現(xiàn)出了明顯的羊群行為；概念板塊內(nèi)羊群行為比行業(yè)和區(qū)域板塊表現(xiàn)得更為明顯,中盤股和低價概念股板塊內(nèi)更易滋生羊群行為。 為了考察板塊內(nèi)羊群行為是否由某些特定投資者引起,本文進一步對證券投資基金在板塊選擇上是否存在羊群行為進行了實證分析。利用投資聚合強度模型,以行業(yè)板塊為例,重點研究了投資基金在板塊配置上是否存在羊群行為。實證結(jié)果顯示,證券投資基金在行業(yè)板塊配置上存在明顯的羊群行為。與之前實證結(jié)果進行對比發(fā)現(xiàn),基金重點投資的五大行業(yè)板塊內(nèi)均發(fā)現(xiàn)了羊群行為,而在投資較小的木材家居、造紙印刷以及紡織服裝等行業(yè)板塊內(nèi)幾乎都不存在羊群行為。 在結(jié)合本文理論和實證研究的基礎(chǔ)上,分析了我國證券市場羊群行為產(chǎn)生的一般性原因,然后指出了板塊內(nèi)產(chǎn)生羊群行為的特殊內(nèi)在原因,最后提出了幾點防范羊群行為的建議。
[Abstract]:With the rapid development of China's market economy, the stock market scale is constantly expanding, securities regulation and distribution system has been gradually improved, the overall market stability is greatly enhanced. In recent years, the market index has been in shock and a slight downward trend, rise and fall were not significant, but at the same time some of the plate is the sharp rise and fall. In these sectors is likely to exist herding behavior more strongly than the overall market, so this is not the whole market as the research object, but from the perspective of the plate special portfolio herding behavior on the stock market.
This paper first summarizes the herd behavior and the plate phenomenon, summarizes the herding behavior of four kinds of classical theory, comparative analysis of four kinds of empirical methods. Then choose the herd behavior model of specific asset portfolio, with the great wisdom of the investment, Tai'an's financial data base and resset financial research database from August 2006 to April 2012 the relevant data from the industry, the concept of plate region and the three aspects of herd behavior within the sector, as well as regularity were studied, results showed that there were obvious herd behavior in most sectors. The degree of herding behavior in the industry sector than in 2006 decreased; the herding behavior of regional economy is developed the more obvious, the western region and the central region and the surrounding Wanjiang plate showed obvious herd behavior; herd behavior in the concept of plate Regional and industry sector performance is more obvious, and the disk shares the concept of low-priced stocks within the sector more likely to breed herd behavior.
In order to investigate whether the herd behavior of the plate caused by certain investors, according to the securities investment fund sector in the choice of herding behavior was analyzed. Aggregation intensity model using investment to the industry sector as an example, focus on investment funds in the sector allocation whether herding behavior exists. The empirical results show that securities investment fund has obvious herding behavior in the plate configuration industry. The empirical results were compared before and found that the five industry fund focused on investments in the sector were found in the herd behavior, the investment in the small wood Home Furnishing, paper printing, textile and garment industry sector almost does not exist herding behavior.
Based on the theoretical and empirical research, this paper analyzes the general causes of herding behavior in China's stock market, then points out the special internal reasons for herding behavior in the stock market, and finally puts forward some suggestions for preventing herding behavior.

【學(xué)位授予單位】：安徽大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

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