深圳股市正反馈效应的实证分析  

Empirical Analysis of the Positive Feedback Trading in the Shenzhen Stock Market

作　　者：张恩众[1] 

机构地区：[1]山东大学管理学院,山东济南250100

出　　处：《科学．经济．社会》2009年第4期35-38,共4页Science Economy Society

基　　金：山东省社科规划基金项目"利用资本市场促进山东经济发展研究";项目批准号08BJGJ07

摘　　要：正反馈交易行为是指在证券价格上升时买进,下跌时卖出的一种交易策略。本文以深圳股票市场为背景,利用深证成指1991年4月3日至2008年12月31日期间的全部日收益率数据,按照牛市熊市分段建模的方法,对深圳市场的正反馈效应进行了实证检验。结果表明,市场运行有时候呈现出随机漫步特征,有时候又呈现出正反馈交易特征。当市场处于牛市状态时,更容易引发正反馈效应。文章从信息披露、投资者教育两方面提出了相应的政策建议。Positive feedback trading is a strategy of exchange, which they sell securities during market declines and they buy securities during market advances. Based on the stock returns of Shenzhen stock market from 1991 - 4 - 3 to ：2008 - 1：2 -31 , partition examination method of the bull market and the bear market has been used in the empirical research on the effect of the feedback of Shenzhen stock market. The research has shown that both random walk and positive feedback trading exist in Shenzhen stock market. When it＇s at the bull market, positive feedback trading is more obvious. The author put forwards the policy recommendations from throwing daylight on information and educating the investor.

关 键 词：深圳股市 正反馈效应 ARCH模型 

分 类 号：F830.91[经济管理—金融学]