我国上海股票市场羊群行为的实证研究  

Empirical Research of Herd Behavior in Stock Market of Shanghai

作　　者：贲立欣[1] 金秀[1] 冯英洁[1] 

机构地区：[1]东北大学工商管理学院,沈阳110004

出　　处：《管理评论》2006年第2期10-14,共5页Management Review

摘　　要：本文以上海股票市场为研究对象,采用单因素线性模型,使用个股横截面收益率方差对上海股票市场中是否存在羊群行为进行实证检验,结果表明我国上海股票市场存在羊群行为,整个样本期内存在以市场指数为领头羊的羊群行为,当市场处于极端收益时同样存在羊群行为。并将本文结论与相关文献结论进行了比较分析。In this paper, we use the single-factor model and Cross-Sectional Std. Deviation of Returns to do an empirical research of herd behavior in Stock Market of Shanghai. The main results we get are that herd behavior exists in the stock market of Shanghai, herd behavior led by market index exists during the whole sample period,and herd behavior also exists when the market is at the extreme return. In addition, we also make a comparative analysis on our results and others′.

关 键 词：羊群行为 收益率离散度 单因素模型 

分 类 号：F224[经济管理—国民经济]