摘要
运用CSAD(横截面绝对收益率偏离度)指标对市场整体收益率进行回归的方法,对样本区间沪、深股市所有上市公司股票收盘价数据进行整体和分阶段的实证分析,发现在样本期间内,我国股票市场在整体上存在显著的羊群行为,并且羊群行为存在一个减少的趋势。从市场分组研究发现,在市场上涨情形下存在类似的羊群行为和类似的发展趋势,而在市场下跌情形下羊群行为呈现出不同的特征,存在一个由不显著到显著逐步递增的趋势。
This paper divides the whole sample period into two parts and examines the herding behavior of the stock market by applying cross-section absolute deviation of return（CSAD） to the security return dispersion as a function of the aggregate market return.Across the sample periods,we find evidence for obvious existence of herding behavior in Chinese stock market generally and a decreasing trend.From the study by grouping,we find similar characteristics in the up market whereas in the down market,the herding behavior takes a different form with an ever increasing trend from non-significant to significant.
出处
《中南林业科技大学学报（社会科学版）》
2011年第6期80-83,共4页
Journal of Central South University of Forestry & Technology（Social Sciences）
关键词
股票市场
羊群行为
跨时分析
横截面绝对收益率偏离度
stock market
herding behavior
cross-time analysis
cross-section absolute deviation of return（CSAD）
