摘要
羊群行为理论一直是金融学领域研究的热点问题之一.以上证180指数和深证100指数成分股为研究对象,运用ARCH模型对2006年至2011年中国股市进行实证分析.研究表明:羊群行为在近期中国股市剧烈震荡过程中依然显著存在.深圳证券市场比上海证券市场羊群行为更加严重、股票上涨阶段的羊群行为比下跌阶段更为显著.
Herd behavior has always been one of the hot issues in the research field of economics and is also prevalent in the world. This paper selects the data from 2006 to 2011, uses Shanghai 180 Index and Shenzhen 100 Index for the study and bases on ARCH models for empirical analysis of herd behavior, the results showed that there is significant herd behavior in China＇s stock market, the herd behavior in Shanghai stock market is more significant than that in Shenzhen stock market, the herd behavior in the rising stage of share price is more significant than that in the falling stage.
出处
《数学的实践与认识》
CSCD
北大核心
2012年第19期24-30,共7页
Mathematics in Practice and Theory
基金
辽宁省教育厅文科基地项目"金融资产价格泡沫理论
测度与控制研究"(WJ2010031)
