低流动性会导致高羊群行为吗?——基于沪深A股市场的经验证据

Does Low Liquidity Result in High Herd Behavior?——Empirical Evidence Based on Shanghai and Shenzhen A-Share Market

本文通过划分高、中、低流动性区间,运用CCK模型实证分析了2005-2018年沪深A股市场流动性对羊群行为的影响。结果显示:我国股市在高流动性时不存在羊群行为,中、低流动性下均存在羊群行为,在低流动性时羊群行为更为显著,且比较金融危机前、中、后期结果发现与上述结论相同。市场流动性较低时,投资者流动性成本更高,而我国投资者信息辨析力相对较弱,为规避流动性风险,往往会选择随波逐流,从而引发羊群行为,这表明提高市场流动性将有利于减弱羊群效应。上述研究结论带来的启示是:第一,个人投资者要加强专业知识学习,树立理性的投资理念;第二,政府部门要减少对市场的干预,加快市场信息透明化和公开化,推进完善信息披露制度;第三,监管部门要设置市场流动性最低红线,加大对机构投资者的监管力度,增强金融市场稳定性。

The authors use the CCK model to analyze the impact of the market liquidity on herd behavior from 2005-2018 in Shanghai and Shenzhen A-share markets by dividing the high, medium and low liquidity intervals. The results show that Chinese stock market has no evidence of herding in high liquidity interval, but show significant herd behavior in both medium and low. Herding is more pronounced in low liquidity. The comparison of the results before, during and after the financial crisis shows the same conclusion. When market liquidity is low, investors tend to herd to avoid liquidity risks because of higher liquidity holding costs and weaker information discriminating abilities. It means that increasing market liquidity will weaken herding. The authors suggest that individual investors should strengthen professional knowledge and establish rational investment concept;the government should reduce excessive intervention in the market, accelerate the transparency and openness of information and improve the information disclosure system;the regulatory authorities should set the minimum red line of market liquidity and increase supervision of institutional investors for enhancing the stability of financial markets.