中国股票市场羊群效应的非对称性研究  

An Asymmetric Study of the Herding Effect in the Chinese Stock Market

作　　者：崔海蓉 李铭 储小俊 CUI Hairong;LI Ming;CHU Xiaojun

机构地区：[1]南京信息工程大学管理工程学院

出　　处：《阅江学刊》2023年第2期123-134,174,共13页Yuejiang Academic Journal

基　　金：江苏高校哲学社会科学研究重点项目“投资者情绪高频指数的构建及其对股价崩盘影响研究”(2018SJZDI071);江苏省社会科学基金项目“基于大数据的股市系统性崩盘风险监测预警研究”(18GLB001);江苏省高校哲学社会科学基金项目“基于互联网金融框架的科技金融创新与发展机制研究”(2019SJA0153)。

摘　　要：羊群效应扩大了股市的涨跌幅,加剧了股市波动,降低了市场有效性,准确识别股市中的羊群行为对稳定金融市场,防范系统性金融风险具有重要意义。基于CCK模型研究上证50指数成分股中的羊群效应,着重分析上涨和下跌两种不同市场状态下羊群效应的非对称性,以及市场情绪和新冠疫情对羊群效应的非对称性影响,研究发现,上证50指数成分股中存在显著的羊群效应,且这种羊群效应具有非对称性;在上涨市场和下跌市场中羊群效应的表现是不同的,当市场处于下跌状态时,羊群效应更强;相对于上涨市场,在下跌市场中市场情绪和新冠疫情对羊群效应的影响更大,积极的市场情绪会增强羊群效应,而新冠疫情则减弱了羊群效应。The herding effect expands the ups and downs of the stock market,intensifies the stock market volatility and reduces the market effectiveness,therefore,the accurate identification of the herding behavior in the stock market plays an important role in stabilizing the financial market and preventing the systemic financial risks.The paper studies the herding effect in the constituents of the SSE 50 index based on the CCK model,focusing on the asymmetry of the herding effect in two different market states,up and down,and the asymmetric effects of market sentiment and the new pneumonia epidemic on the herding effect.It is found that there is a significant herding effect among the constituents of the SSE 50 Index,and this herding effect is asymmetric;the performance of the herding effect is different in rising and falling markets,and the herding effect is stronger when the market is in a falling state;the effects of market sentiment and the new pneumonia epidemic on the herding effect are also asymmetric,and the effects of both on the herding effect are greater in rising markets,and positive market sentiment enhances the herding effect,while the new pneumonia epidemic weakens the herding effect.

关 键 词：羊群效应 中国股票市场 市场情绪 新冠肺炎疫情 CSAD CCK模型 

分 类 号：F832.51[经济管理—金融学]