我国股指期货市场羊群行为实证研究

Empirical Study on Herd Behavior of China Stock Index Futures Market

通过比较分析CSSD和CSAD两种常用的关于羊群行为研究的方法,基于横截面绝对偏离度(CSAD)方法并结合ARMA-GARCH模型对上市以来的我国股指期货市场"羊群行为"进行了实证研究,结果表明,我国股指期货市场存在着不显著的羊群行为。我国股指期货上市时间不久,这种轻微的羊群行为应该值得相关部门的关注,可以采取健全和完善股市的信息披露制度、加强股指期货市场监管和风险教育等相关措施,防止羊群行为的进一步扩散。

Comparing the common methods of CSSD （curvature scale space descriptor） and CSAD （cress-sectional absolute deviation）, this paper combines CSAD and ARMA-GARCH to study herd behavior in China listed stock index futures market empirically, and concludes that there is insignificant herd behavior in the market. Since China stock index futures are listed recently, this slight herd behavior deserves more concern from related sectors by complete and perfect information disclosure system in stock market, and avoids its spread through supervision on stock index futures market and education on its risks.