期刊文献+

股票市场的羊群行为与波动:关联及其演化——来自深圳股票市场的证据 被引量:27

Herding behavior and volatility of stock market: Correlation and dynamics—Evidence from the Shenzhen stock market
下载PDF
导出
摘要 提出羊群行为指标以及基于多重分形谱分析的市场波动指标,运用Diks与Panchenko[19]提出的非线性Granger因果关系检验和Zebende[20]提出的DCCA交叉相关系数,动态研究了深圳股票市场的羊群行为与市场波动的关联以及他的演变规律.结果显示,深圳股票市场羊群行为与市场波动之间的关联并不表现为简单的线性方式,而是复杂的非线性机制;金融危机前后深圳股市羊群行为与市场波动之间表现出方向不同的相关性和不同的因果关系.总体来说,2005年股改之前羊群行为与市场波动之间互不影响,2005年至2007年间羊群行为正向影响市场波动,而2008年之后羊群行为负向影响市场波动,同时市场波动也负向影响羊群行为.这一新的发现表明,市场羊群行为并不像传统研究所宣称的总是产生"正反馈效应",有时也表现出"负反馈效应". This paper introduces the indices of herding behavior and market volatility based on multifractal spectrum. Employing the nonlinear Granger causality test proposed by Diks and Panchenko and the cross-cor- relation coefficient proposed by Zebende, we investigate the dynamic linkages between herding behavior and market volatility. The empirical results indicate that the relationship between herding behavior and market vol- atility in the Shenzhen stock market is nonlinear, rather than the simple linear linkage. The correlations and causality relationships between herding behavior and market volatility are largely different between before and after the recent financial crisis. Specifically, before the reform of the shareholders in 2005, herding behavior and market volatility could not affect each other. During the period of 2005 - 2007, herding behavior had posi- tive effects on market volatility. However, after 2008, herding behavior had negative effects on market volatili- ty, meanwhile market volatility also had negative effects on herding behavior. This new finding indicates that herding behavior does not always result in "positive feedback" effects as claimed in conventional studies and "negative feedback" effects are present sometimes.
出处 《管理科学学报》 CSSCI 北大核心 2015年第11期82-94,共13页 Journal of Management Sciences in China
基金 国家自然科学基金资助项目(71101068 71071071) 教育部人文和社会科学研究规划资助项目(12YJAZH020 09YJA7909199 20100091120050) 江苏省高校优势学科建设工程资助项目(PAPD) 江苏省现代服务业研究院资助项目(PMS) 南京财经大学科学研究基金资助项目(A2010017) 江苏省社会科学基金资助项目(15eyb013)
关键词 股票市场 羊群行为 波动 非线性相关 非线性因果关系 stock market herd behavior volatility nonlinear correlation nonlinear causality
  • 相关文献

参考文献49

  • 1Bikhchandani S, Hirshleifer D, Welch I. A theory of fads, fashion, custom, and cultural change in informational cascades [J]. Journal of Political Economy, 1992, 100(5) : 992 -1026.
  • 2Shiller R J. Do stock prices move too much to be justified by subsequent changes in dividends.'? [ J]. American Economic Review, 1981, 71(3): 421 -436.
  • 3Friedman M. Financial futures markets and tabular standards[ J ]. Journal of Political Economy, 1984, 92 (1) : 165 -167.
  • 4White E N. The Stock Market Boom and Speculative Manias[ M ]. Brookfield: Edward Elgar Publishing Company, 1990.
  • 5Lee C, Andrei S, Richard H T. Investor sentiment and the closed-end fund puzzle[ J ]. Journal of Finance, 1991,46:75 - 109.
  • 6Avery C, Zemsky P. Multidimensional uncertainty and herd behavior in financial markets [ J ]. American Economic Review, 1998, 88(4): 724-748.
  • 7Lakonishok J, Shleifer A, Vishny R W. The impact of institutional trading on stock price[ J]. Journal of Financial Econom- ics, 1992, 32(1): 23-43.
  • 8Shiller R J. Tools for financial innovation: Neoclassical versus behavioral finance[J]. Financial Review, 2006, 14( 1 ) : 1 -8.
  • 9Chang E C, Dang S. Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock mar- ket[J]. Pacific-Basin Finance Journal, 2006, 14:135 - 154.
  • 10Venezia I, Nashikkar A, Shapira Z. Firm specific and macro herding by professional and amateur investors and their effects on market volatility[ J]. Journal of Banking & Finance, 2011, 35 : 1599 - 1609.

二级参考文献216

共引文献1015

同被引文献329

引证文献27

二级引证文献149

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部