大宗交易对股价波动的羊群效应研究

The Herding Effect of Block Trading on the Stock Price Volatility

以2018-2020年沪深A股发生大宗交易的上市公司为样本,实证检验了上市公司大宗交易定价对其二级市场股票价格波动的影响机理。结果表明:投资者羊群效应与股票超额收益显著正相关;大宗交易折溢价率与股票短期超额收益显著正相关;股票市场的伪羊群效应会减弱大宗交易对股票价格的短期影响。获取大宗交易定价信息的投资者理性与否决定了大宗交易定价对二级市场股票价格作用的强弱。进一步研究发现:沪深A股市场短期内伪羊群效应显著,长期内真羊群效应显著;这充分表明中国股票市场的资产定价相对合理,投资者处于有限理性状态。

This paper takes the listed companies which block trades occurred in Shanghai and Shenzhen A shares from 2018 to 2020 as a sample,to empirically test the mechanism of the impact of the block trade pricing of listed companies on the stock price fluctuations in the secondary market.The empirical conclusions show that the herding effect of investors is significantly positively correlated with excess stock returns;the discount and premium rate of block trades is significantly positively correlated with short-term excess stock returns;the pseudo-herding effect in the stock market weaken the short-term impact of block transactions on stock prices.The rationality of investors who obtain block trade pricing information determines the effect of block trade pricing on stock prices in the secondary market.Further research found that the pseudo-herding effect in the Shanghai and Shenzhen A-share market is significant in the short term,and the real herding effect is significant in the long term,which fully shows that asset pricing is relatively reasonable and investors are in a state of bounded rationality in the Chinese stock market.