羊群效应对股指波动率的影响分析

Influence Analysis of Herding Behavior to Stock Volatility

投资者行为对资本市场的稳定性影响是行为金融学关注的热点问题之一。本文以"浦发银行"股票为研究对象,首先,利用羊群行为的程度作为度量羊群行为的数量标准,通过建立ARCH模型,对"浦发银行"股票是否存在羊群效应进行统计检验,结果表明"浦发银行"股票存在显著的羊群效应。其次,通过建立线性回归模型分析了羊群行为对股票波动性的影响。实证研究表明,股票的羊群行为程度与股票指数波动率成正相关关系。

The investor behavior to capital market＇s stable influence is one of behavior finance study attention hot topics. The article lakes stock of ＂Pudong Development Bank＂ stock as study object. First of all, the extent of the use of herding behavior as a measure of the standard through the establishment of ARCH models to test the ＂Pudong Development Bank＂, the existence of herding the stock results show that the ＂ Pudong Development Bank＂, there are significant herding behavior. Secondly, the article by establishing a linear regression mode[ analysis of herding behavior of stock volatility. Empirical studies have shown that the herding behavior degree of stock and stock index volatility is positively correlated.