基于CAPM的中国股市羊群行为研究——兼与宋军、吴冲锋先生商榷  

CAPM Based Study of Herd Behavior:Evidence from Chinese Stock Market and Discussion with Song Jun and Wu Chongfent

作　　者：孙培源[1] 施东晖[2] 

机构地区：[1]上海交通大学安泰管理学院,200030 [2]上海证券交易所战略委员会,200120

出　　处：《经济研究》2002年第2期64-70,共7页Economic Research Journal

基　　金：国家自然科学基金资助 (项目号 :70 0 730 17)

摘　　要：本文首先对宋军和吴冲锋的《基于股价分散度的金融市场羊群行为研究》一文进行了分析 ,指出其在分析方法和论证逻辑两方面存在的问题。随后 ,本文以资本资产定价模型 (CAPM)为基础 ,建立了一个更为灵敏的羊群行为检验模型 ,并据此对我国股市进行了实证检验。研究结果表明 :在政策干预频繁和信息不对称严重的市场环境下 ,我国股市存在一定程度的羊群行为 。ABSTRACTThis paper analyzes the article “A Study of Herd Behavior of Financial Markets Based on Decentralization Degree” written by Song Jun and Wu Chongfent,and points out there is some problem in their method of analysis and logic of demonstration.Then we buildup a more senstitive herd behavior test model based on the CAPM,and do some empirical research on the stock market in China.We find out:there does exist herd behavior in the circumstance of frequent intervention of policy and serious information asymmetry,and consequently the systematic risk accounts for a significant proportion of the total risk.

关 键 词：股票市场 信息不对称 资本资产定价模型 系统风险 CAPM 中国 “羊群行为” 

分 类 号：F832.5[经济管理—金融学]