基于知情交易的羊群行为研究

A Research on the Herd Behavior Based on Informed Trading

采用上证综指2007年到2008年的数据探讨我国股票市场上一般投资者的羊群行为和信息瀑布是否存在。发现:我国股票市场在上涨阶段的羊群行为特征较下跌行情更为明显;股票市值越小,羊群行为越明显,并且卖方的羊群行为比买方的羊群行为更为显著;上期收益率越低,羊群行为越低,而上期收益率越高,羊群行为也越高。更为重要的是,中国股市存在信息瀑布,当投资者跟随者庄家进行噪音交易时,庄家表现出至关重要的作用,从而产生羊群行为。

This paper discussed investors’herd behavior in Chinese stock market and verified that informational cascades exist.It’s found that herd behavior of Chinese stock market in the rise stage is more obvious than downturns;the less stock value,the more obvious herd behavior,and seller’s herd behavior is more significant than the buyer’s;the lower rate of prior returns,the lower herd behavior,the higher rate of prior returns,the higher herd behavior.More importantly,there are informational cascades in Chinese stock market.The market makers play a vital role when investors follow them to make noise trading,thus results in herd behavior.