我国创业板市场的“羊群效应”心理分析——基于GARCH模型的研究

PSYCHOLOGY ANALYSIS OF "HERDING EFFECT" IN CHINA'S GROWTH ENTERPRISE MARKET——BASED ON GARCH-MODELS

近年来,中国证券市场陷入极大的波动当中,"羊群效应"现象明显,对市场的稳定发展造成了很大的冲击,也对证券市场的价格与资源配置功能产生了极大的不利影响。以我国创业板市场2014—2016年上市企业所有成分股所包含的相关数据为分析基础,运用GARCH模型对这些数据进行计量分析发现,当股价存在剧烈波动的情况时整个市场存在明显的"羊群效应"且"羊群效应"心理导致了强烈的正反馈交易行为。就该现象而言:建议个人投资者参考上市公司高管增持或员工持股计划,减少信息收集成本从而理性投资;努力发展机构投资者;减少政府的直接干预;完善信息披露制度。

In recent years,China′s securities market has had great fluctuations.The herding effect is obvious,and has caused a great impact on the stock market prices,market resource allocation function and the stock market stability.The GARCH model is used to analyze the data contained in all the constituent stocks of listed companies in China′s 2014-2016 market.It is found that the herding effect in the whole market is obvious when there were fluctuating stock prices.Herding psychology lead to strong positive feedback trading behavior.In this regard,it is recommended that individual investors refer to the holdings of listed companies′executives or employees,reduce the cost of information collection and thus carry out rational investment;efforts to develop institutional investors should be made;the government′s direct intervention should be reduced;the information disclosure system should be improved.