本文關(guān)鍵詞：我國創(chuàng)業(yè)板市場羊群行為實(shí)證研究　出處：《安徽財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 創(chuàng)業(yè)板 羊群行為 CCK模型 交易量模型

【摘要】：羊群行為最早是用來描述股票交易中投資者之間相互模仿和利用他人交易信息的現(xiàn)象的,其是行為金融學(xué)的重點(diǎn)研究方向之一,因?yàn)槲覀儫o法從主流的金融學(xué)理論中得到解釋這一現(xiàn)象的方法。羊群行為是證券市場中一種常見的現(xiàn)象,而其結(jié)果卻常常是放大了追漲殺跌的效應(yīng),從而對(duì)市場的效率和穩(wěn)定性構(gòu)成威脅,情況嚴(yán)重的甚至有可能引起金融危機(jī)。值得注意的是,我國創(chuàng)業(yè)板市場被寄望成為中國版“納斯達(dá)克”并且肩負(fù)了為我國中小企業(yè)提供有效的融資渠道、推動(dòng)創(chuàng)新和加快經(jīng)濟(jì)發(fā)展方式轉(zhuǎn)型的重任,其能否健康穩(wěn)定的運(yùn)行顯得尤為重要。因此,對(duì)我國創(chuàng)業(yè)板市場上的羊群行為進(jìn)行研究,并且在此基礎(chǔ)上探討如何促進(jìn)其健康穩(wěn)定的發(fā)展就顯得尤為重要。 本文首先分析了創(chuàng)業(yè)板羊群行為的研究背景和意義以及國內(nèi)外關(guān)于金融市場上羊群行為的研究情況。在論文的第二章中,介紹了羊群行為的起源和發(fā)展,闡述了羊群行為產(chǎn)生的原因包括理性和非理性兩個(gè)方面,并認(rèn)為理性因素更重于非理性因素。分析了羊群行為對(duì)股票市場的負(fù)面影響,指出羊群行為會(huì)導(dǎo)致市場信息傳遞鏈的中斷、效率的損失以及市場的不穩(wěn)定性和脆弱性。論文的第三章對(duì)創(chuàng)業(yè)板羊群行為進(jìn)行了一般分析。介紹了我國創(chuàng)業(yè)板從起源到正式推出的整個(gè)發(fā)展歷程,同時(shí)還介紹了創(chuàng)業(yè)板上市企業(yè)在數(shù)量增長、成立時(shí)間分布以及行業(yè)分布上的特點(diǎn)。接著結(jié)合上一章中羊群行為的成因與創(chuàng)業(yè)板自身的特點(diǎn),分析了創(chuàng)業(yè)板市場上羊群行為存在的可能性。論文的第四章對(duì)創(chuàng)業(yè)板羊群行為進(jìn)行了實(shí)證分析。首先對(duì)模型進(jìn)行了介紹,比較模型的優(yōu)劣,并且指出了更適合本文研究的模型。在具體的實(shí)證過程中,考慮到我國創(chuàng)業(yè)板自身的特點(diǎn),設(shè)計(jì)了一個(gè)新的模型再次進(jìn)行檢驗(yàn),得出了不同的結(jié)果,并分析了原因,最后得出我國創(chuàng)業(yè)板市場上存在一定程度的羊群行為。第五章總結(jié)了全文的研究結(jié)論,并且根據(jù)全文的理論和實(shí)證研究結(jié)果提出抑制我國創(chuàng)業(yè)板羊群行為的建議,最后指出研究的不足之處并對(duì)未來的研究做出展望。
[Abstract]:Herd behavior is first used to describe the phenomenon of investors imitating each other and using other trading information in stock trading. It is one of the key research directions of behavioral finance. Herding behavior is a common phenomenon in the stock market, but the result is often magnified the effect of chasing the rise and kill the fall. This poses a threat to the efficiency and stability of the market, and if the situation is serious, it may even cause a financial crisis. China's gem market is expected to become China's version of "Nasdaq" and shoulder the burden of providing effective financing channels for SMEs, promoting innovation and speeding up the transformation of economic development mode. Therefore, it is very important to study the herding behavior in the gem market of our country, and discuss how to promote its healthy and stable development on this basis. This paper first analyzes the research background and significance of gem herding behavior and the domestic and foreign research on herding behavior in the financial market. In the second chapter, the origin and development of herding behavior are introduced. This paper expounds the causes of herd behavior, including rational and irrational, and thinks that rational factors are more important than irrational factors, and analyzes the negative effects of herd behavior on stock market. It is pointed out that herding behavior will lead to the interruption of the market information transmission chain. The loss of efficiency and the market instability and vulnerability. Chapter III of the paper on the gem herd behavior general analysis, introduced the gem from its origin to the formal launch of the entire development process. At the same time, it also introduces the characteristics of gem listed enterprises in terms of quantity growth, establishment time distribution and industry distribution. Then combining the causes of herd behavior in the previous chapter and the characteristics of gem itself. This paper analyzes the possibility of herd behavior in the gem market. Chapter 4th of the paper makes an empirical analysis on the herd behavior of gem. Firstly, the paper introduces the model and compares the advantages and disadvantages of the model. And pointed out a more suitable model for this study. In the specific empirical process, considering the characteristics of gem, we designed a new model to test again, and got different results. And analyzed the reasons, and finally concluded that there is a certain degree of herding behavior in the gem market in China. Chapter 5th summarizes the research conclusions of the full text. According to the theoretical and empirical research results, the paper puts forward some suggestions to restrain the herding behavior of gem in China. Finally, it points out the deficiencies of the research and makes a prospect for the future research.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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