基于CCK扩展模型的机构投资者羊群行为研究

The Research of Herding by Institutional Investors Based on Extended Model of CCK

以机构持仓变动为切入点,给出横截面机构持仓变动绝对偏离度的定义,并以资本资产定价模型(CAPM)为基础,证明了横截面机构持仓变动绝对偏离度与机构总持仓变动之间存在线性关系;但当存在显著的羊群行为时,两者之间则表现为非线性关系.因此,该文建立的非线性模型考察机构投资者的羊群行为,突破了传统的CCK模型不能用于检测机构投资者羊群行为的局限性.最后利用中国上海和深圳A股市场的数据检验该模型的有效性,结果表明该模型是传统模型的合理扩展.

Taking the change of institutional holdings as a pointcut,the definition of the Cross-Sectional Standard Deviation of the change of institutional holdings（ xholdCSAD ）is firstly given. Then it is proved based on CAPM that there is a linear relationship between xholdCSAD and the total changes of institutional holdings. However,there exists nonlinear relationship between them while in the presence of herding behavior significantly,so a nonlinear model is established to detect herding by institutional investors as to overcome the limitation of traditional CCK model that can not be used to investigate herding behavior by institutional investors before. Finally,the Chinese Shanghai and Shenzhen A-share markets are taken as an example,and the application of this model is given,the result shows that the model is a reasonable extension of the traditional CCK model.