摘要
在证券价格相对决定论基础上,本文结合Malmquist指数测度模型,给出了测度股市羊群效应的模型;并以电子、信息技术、交通运输和批发零售行业上市公司2006～2008年股市数据进行实证分析,结果表明:我国股票市场羊群效应明显存在,并且不同行业股票的羊群效应指数不同。
Based on the relative deciding theory of the securities price and the model of Malmquist index, the paper gives a model of measuring the herd behavior and measures the electronic, information technique, transportation and wholesale and retail listed companies in china stock market. The result indicates there is obvious herd behavior in china stock market and the herd behavior index of different industry stocks is dissimilar.
出处
《证券市场导报》
CSSCI
北大核心
2009年第8期72-77,共6页
Securities Market Herald
