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

Herding behavior and volatility of stock market: Correlation and dynamics—Evidence from the Shenzhen stock market

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.