基于VAR模型的中国创业板羊群效应研究  

The Research of Herd Behavior on Chinese GEM based on VAR Model

作　　者：王春丽[1] 吴丽颖[1] 

机构地区：[1]东北财经大学统计学院,辽宁大连116025

出　　处：《数学的实践与认识》2015年第12期100-110,共11页Mathematics in Practice and Theory

基　　金：教育部2013年度人文社会科学研究项目"我国创业板IPO价格行为与发行市场效率关系的实证研究"(13YJA790109)的阶段性成果

摘　　要：羊群效应一直是我国主板市场研究的热点问题，受到开板时间的制约，关于创业板市场羊群效应研究相对较少．以创业板为研究对象，基于CCK模型检验方法，引入成交量指标，分别从价、量两个方面建立VAR模型对创业板的355只股票进行研究．结果表明：我国创业板二级市场存在由成交量引起的羊群效应，滞后期为1—2期．说明在创业板，投资者对成交量变动比价格变动更为敏感．因此，加强投资者交易行为的监管更有利于创业板市场的稳健发展．Herd behavior has always been a hot issue in the research on the main board market of our country. Being restricted by the opening time, little attention has been paid on the herding effect of GEM. In this paper, with the GEM as research subject, we introduce the trading volume index based on the traditional herd effect testing method, and research the 355 stocks listed on the GEM by VAR model. The results show that herd behavior caused by the trading volume index exists on the secondary market of GEM, and its lag period is 1 to 2. On the GEM, investors are more sensitive to the changes of trading volume than to the price. Therefore, to strengthen the regulation of investments＇ trading is profitable to the stable development of the GEM.

关 键 词：创业板 羊群效应 VAR模型 成交量 

分 类 号：F832.51[经济管理—金融学] F224