股票市场羊群行为的中美比较

A Sino-American Comparative Research on Herding of Stock Market

结合最新的资产定价模型和股票市场羊群行为检验思路,提出了股票市场理性与非理性羊群行为检验方法,并将股票市场羊群行为实证研究扩展到不同市场之间的比较.实证研究表明,纽约股票市场的理性羊群行为程度高于中国股票市场,但其非理性羊群行为程度缺低于中国股票市场,中美股票市场交易制度及投资者理念的不同能够解释羊群行为差异.

This paper put forwards the measures of rational and irrational herding of stock market, which are used to compare the herding difference between different stock markets. The empirical results indicate that the rational herd of American stock market is stronger than that of Chinese stock markets, but the irrational herd of American stock market is weaker than that of Chinese stock markets. The results can be explained by the difference of market system and investors＇ ideas.