资本市场中的头羊-从羊模型

A Model of Leader-Follower in the Securities Market

针对目前中国证券市场中普遍存在着个人投资者对机构投资者的羊群行为这一特殊现象 ,建立了一个头羊 -从羊模型 .通过一定的参数假设和计算 ,定量地指出这种羊群行为增加了资产价格的波动 ,并且在大多数情况下头羊的收益大于从羊的收益 .但是随着头羊数量的增加和头羊收到的信息中的噪声增加 ,头羊 -从羊的收益之差减少 .最后从模型结论引申出稳定市场、改善市场结构。

It is common in the Chinese securities market for the individual investors to herd on the institutional investors. This article builds a model of leader\|follower for this special phenomenon. Through certain assumptions and calculations, the model finds that the herding behavior increases the volatility of the market price, and that the leaders gain more profit than the followers in most circumstances. But as the amount of the leader increases and the noise in the signal that the leaders receive increases, the difference between the profit of the leader and the followers decreases. Finally, based on the conclusion of the model, we propose some advices to stabilize the market, to improve the structure of the market and to increase the informational efficiency of the market.