我国上海股票市场的羊群行为研究  

Empirical Analysis of Herd Behavior on the Shanghai Stock Market

作　　者：陈晓迪[1] 徐赐文[1] 

机构地区：[1]中央民族大学理学院,北京100081

出　　处：《中央民族大学学报（自然科学版）》2011年第3期73-76,共4页Journal of Minzu University of China(Natural Sciences Edition)

基　　金：国家自然科学基金(No.10871200);中央民族大学"211"工程项目(No.021211030312)资助

摘　　要：本文借鉴GCAPM模型对我国上海股票市场进行羊群行为检测:如果投资者对某一资产组合存在羊群行为,那么该组合的预期收益率将于市场上的平均预期收益率呈现非线性关系.实证检验结果表明我国上海股票市场中大部分的资产组合存在显著的羊群行为.This paper use a new testing model to detect herd behavior on the Shanghai StockMarket. The new model which is derived from the basic idea of GCAPM implies that when investors herd on a given portfolio, there will hold a non-linear relationship between the expected return rate of that portfolio and the average return rate in the markets. Empirical test finds that a great number of portfolios exist herd behavior on the Shanghai Stock Market.

关 键 词：羊群行为 GCAPM 行业板块 

分 类 号：O632[理学—高分子化学]