我国A股房地产板块羊群效应研究

Research on Herding Behavior of A-share Real Estate Sector in China

借助CSAD模型、马尔科夫转换模型和GARCH模型的研究结果表明我国A股房地产板块存在明显的羊群效应且存在如下特点:非对称性,扩张期较衰退期更为显著;规模差异性,大盘股较中小盘股更为显著;房地产调控政策影响的非对称性,紧缩政策较之宽松政策会诱发更加明显的羊群效应;产业链传染性,上下游行业中的羊群效应产生影响.非系统性风险和系统性风险都对A股房地产板块羊群效应产生了促进影响,且系统性风险的影响较大.

Empirical research using the CSAD model,the Markov-switching model and GARCH model show that the A share real estate sector in China has obvious herding effects and has the following characteristics:asymmetry,the expansion period is more significant than the recession period;scale difference,the large-sized stock is more significant than small and me dium-sized stocks;the asymmetry of real estate policies,herding effect is contagious among industrial chain,the herding effects in the upstream and downstream industries imitate that of real estate sector;Both non-systematic risks and systemic risks have had an impact on the herding effect of the A-share real estate sector,and systemic risk has a greater impact.