中国股票市场理性与非理性羊群行为实证研究

An Empirical Study on the Rational and Irrational Herd in Chinese Stock Market

传统股票市场羊群行为检验方法的缺陷使现有的实证研究主要集中于离散状态市场羊群行为的存在性检验。根据资产定价模型因子载荷横截面离散度检验羊群行为的方法原理,结合基于产业与资本市场的资本资产定价模型,提出了股票市场理性与非理性羊群行为检验方法,并应用于中国股票市场羊群行为实证检验,直观地显现了中国股市羊群行为的动态演变特征,将股票市场羊群行为强弱转变与市场走势有机的结合起来。

The limitation of traditional herding measure restricts the empirical herd research on the testification of herding existence. According to herding measure with cross-section deviation of factor loading of asset pricing model and based on Capital Asset Pricing Model Integrating Firms and Market, this paper proposes measures of rational and irrational herd in stock market. Through the test on Chinese stock market, the dynamic characteristics of herd in stock market are revealed.