基于CCK的中小板市场羊群效应研究

Research on the Herding Effect in Medium and Small Enterprises Board Based on CKK

采用基于CAPM的CCK方法对中国中小板市场2007年1月4日到2011年12月2日之间进行羊群效应检验,即检验个股收益率相对于市场收益率的横截面绝对偏离度CSAD与市场组合收益率之间是否存在非线性关系,结果表明中国中小板市场在上涨阶段存在羊群效应,而在下跌阶段不存在羊群效应。

Herding behavior can affect the it is important and meaningful to do research on security price in the stock market. Therefore, this effect. This paper tested medium ＆ small enterprises＇herding effects between 1/4/2007 and 12/2/2011 based on the CCK method of CAPM, aiming to find the existence of the nonlinear relationship between return of market portfolio and CSAD. The result of empirical analysis shows there is herding effects on up stage of stock price,and none on the down stage. Based on this result,we analyzed the cause of this herding effect and gave the implication of this effect to government and investors.