摘要
本文首先对宋军和吴冲锋的《基于股价分散度的金融市场羊群行为研究》一文进行了分析 ,指出其在分析方法和论证逻辑两方面存在的问题。随后 ,本文以资本资产定价模型 (CAPM)为基础 ,建立了一个更为灵敏的羊群行为检验模型 ,并据此对我国股市进行了实证检验。研究结果表明 :在政策干预频繁和信息不对称严重的市场环境下 ,我国股市存在一定程度的羊群行为 。
ABSTRACTThis paper analyzes the article “A Study of Herd Behavior of Financial Markets Based on Decentralization Degree” written by Song Jun and Wu Chongfent,and points out there is some problem in their method of analysis and logic of demonstration.Then we buildup a more senstitive herd behavior test model based on the CAPM,and do some empirical research on the stock market in China.We find out:there does exist herd behavior in the circumstance of frequent intervention of policy and serious information asymmetry,and consequently the systematic risk accounts for a significant proportion of the total risk.
出处
《经济研究》
CSSCI
北大核心
2002年第2期64-70,共7页
Economic Research Journal
基金
国家自然科学基金资助 (项目号 :70 0 730 17)
