摘要
在行为金融学领域,不成熟的股票市场中投资者存在大量盲目跟风和极度投机的现象,这些现象有可能造成股票市场的严重泡沫,甚至影响到整个资本市场。中国股市目前还处在转型期,市场机制、证券法和信息披露制度等还在建设和完善的过程中。中国A股市场受金融改革影响的羊群效应现象明显,建立并修正CCK模型(2000)可有效提高对于羊群效应检测的准确性。结果显示在中国A股投资者之间存在羊群效应,而且在近五年的大盘下跌的交易日内更为明显。另外,在2010年金融改革之后,羊群效应有了一定程度的减弱。整体结果,建议不断完善金融制度和股票投资环境。
There is following-up operation and excessive speculative acts among Chinese individual investors due to the present situation of immature stock market. Hence,it may cause the serious bubble of the stock market,even the whole capital market. This study examines the financial reform related herding activity on Chinese A-share market. The market set up and adjusted CCK（2000） model. The new model focused on the improvement of accuracy of herding. The results indicate that the herding exists among investors in Chinese A-share market and significantly exists in falling market in more recent 5 years. In addition,after the financial reform 2010,the degree of herding becomes less significant. Those results indicate the effectiveness of financial reforms in China,which expect to improve the investment environment and a mature stock market mechanism.
出处
《晋中学院学报》
2016年第2期38-44,共7页
Journal of Jinzhong University
基金
中央高校项目:西部重特大灾害多发区的经济社会风险分析及应灾对策(2014SZYTD01)
国家社科基金:西部地区应灾能力提升的金融保险支持研究(12XJL012)
教育部社科规划(11YJA850016)
中国博士后基金(2011M501409
2013T60851)~~
