基于上证30及深圳成指的我国股票市场“羊群行为”的实证研究

Empirical Tests on Herd Behavior in the China Stock Market

本文采用CSAD(横截面收益绝对差 )方法 ,对我国股票市场是否存在“羊群行为”进行了实证检验。结果发现 :在上涨行情中 ,我国深圳证券市场与上海证券市场均不存在“羊群行为” ;但在下跌行情中 ,深圳证券市场与上海证券市场均存在“羊群行为” ,且深圳证券市场比上海证券市场具有更多的“羊群行为”。对产生“羊群行为”的原因 ,作者进行了简要分析。

In this paper, the authors use CSAD(cross-sectional absolute deviation of returns) to conduct empirical tests on herd behavior in the stock market of China. In the result, we find no evidence of herd behavior in up-market. How-ever, herd behavior is found in down-market. There is more herd behavior in Shengzheng stock market than in Shanghai stock market. The paper also outlines some simple reasons for herd behavior in China stock market.