上海股票市场羊群行为实证研究

An Empirical Study of Herding in Shanghai Stock Market

采用一种利用资产定价模型因子载荷截面离散度指标测度羊群行为的新方法来检验上海股票市场是否存在以市场指数为领头羊的羊群行为。这种方法不仅考虑到了基本面的变化,还自动考虑了时间序列波动的影响,并能直观地显现市场中羊群行为的动态特征。实证结果发现,上海股票市场存在以市场指数为领头羊的羊群行为,且羊群行为的增强和减弱与市场的阶段性涨跌相对应,市场上涨和下跌时羊群行为较严重,在市场相对平静时也存在一定程度的羊群行为,这和以往的实证结果认为羊群行为仅出现在市场剧烈波动时期不同。但是,市场羊群行为周期与大盘运行趋势周期并不完全相一致,即使在股市出现单边上涨或下跌过程中,市场羊群行为也可以完成增强与减弱的完整循环,这说明市场中投资者的风险意识在不断的变化。

A new approach is employed to test herding towards the market portfolio, which is based on the cross -sectional dispersion of the factor loading of asset pricing model within Shanghai stock market. This method not only takes the changes of fundamentals into account, but also automatically considers the effects of changes in the time series volatility. It also can reveal the dynamic characteristics of herding. The empirical results show that there exists herding towards the market portfolio in the Shanghai stock market, and the strengthening or weakening of herding corresponds to the market rising and falling. The herding is more serious when the market is rising or falling. There also is a definite herding when the market is relatively calm. This is different from the previous empirical results that herding only exists in the period of the market volatility. However, the overall trends in the market cycle and the cycle of herding is not entirely consistent. Even if there appears the unilateral rise or fall in the stock market, the herding also may complete the circulation of strengthening or weakening. This shows that the risk awareness of investors in the market constantly changes.