摘要
羊群行为会产生流动性共性的聚集效应,而"飞向流动性"行为会产生流动性共性的分散效应。基于本文构建的模型,检验了羊群行为以及"飞向流动性"行为对流动性共性影响的作用机制。实证显示,当市场整体流动性变弱的时候,我国个股流动性的分化程度增大,个股之间的流动性共性下降。"飞向流动性"行为的效应强于"羊群行为"效应,这说明随着我国投资者结构的变化和市场的完善,我国投资者趋于理性化。
Herding behavior will bring the clustering of systematic liquidity, while ＂flying to liquidity＂ will do the contrary. Using the testing model built in this paper, we revealed the mechanism of cross-effect of herding behavior and ＂flying to liquidity＂. The empirical results show that when the overall liquidity of market was getting worse, individual stocks were getting polarized and the systematic liquidity was mitigating. That is, the effect of ＂flying to liquidity＂ is stronger than that of ＂herding behavior＂, which means Chinese investors were getting rationalized along with the process of improving the stock markets and the investor structure.
出处
《统计研究》
CSSCI
北大核心
2009年第10期88-95,共8页
Statistical Research
关键词
羊群行为
飞向流动性
流动性共性
Herding Behavior
Fly to Liquidity
Systematic Liquidity
