中国股市的羊群效应的ARCH检验模型与实证分析

The ARCH Model and its Empirical Analysis of Herding Behavior on the Chinese Stock Market

本文提出一种检验羊群效应的方法 ,即通过检验个股截面收益的绝对偏差 (CSA D)与市场收益的非线性关系 ,来判断羊群效应是否显著 ,并对我国沪深两市的羊群效应进行了实证分析 ,结果发现我国沪深两市存在一定程度的羊群效应 .

We use a new and more powerful approach to detect herding based on equity return behavior on the Chinese stock market. Using a non-linear regression specification, we examine the relation between the cross-sectional absolute deviation of return (CSAD) and the market return. We find some evidence of herding on the Chinese stock market.