本文使用由Chang et al.(2000)提出的收益率的橫截面絕對(duì)離散誤差(CSAD)指標(biāo)對(duì)中國(guó)股票市場(chǎng)的羊群行為進(jìn)行了全面的研究,該方法能夠捕捉個(gè)股與市場(chǎng)收益之間的非線性關(guān)系。根據(jù)Christie&Huang(1995)和Chang et al.(2000)的研究結(jié)果,當(dāng)個(gè)股收益趨向并匯合于市場(chǎng)共識(shí)時(shí),羊群行為會(huì)出現(xiàn)在股票市場(chǎng)中,從而導(dǎo)致個(gè)股收益的收益分散性降低,相較于市場(chǎng)收益。首先,本研究調(diào)查了基本面和非基本面因素對(duì)于中國(guó)股票市場(chǎng)的羊群行為及趨向市場(chǎng)共識(shí)的影響范圍。實(shí)證結(jié)果表明,在整個(gè)中國(guó)股市中,在有或沒有任何基本面因素的情況下,在整個(gè)市場(chǎng)范圍內(nèi)都有羊群行為。但是,在大多數(shù)情況下,基本面羊群行為的數(shù)量要大于非基本面羊群行為的數(shù)量。研究結(jié)果還表明,在市場(chǎng)中的羊群行為強(qiáng)度各不相同,并且投資者羊群行為出現(xiàn)的原因在特定的市場(chǎng)條件下也有所不同,例如市場(chǎng)各個(gè)階段,極端市場(chǎng)條件,流動(dòng)性效應(yīng),金融動(dòng)蕩,宏觀經(jīng)濟(jì)公告和傳染效應(yīng)。此外,研究結(jié)果表明,A股市場(chǎng)的信息環(huán)境更加豐富,而且其投資者現(xiàn)在在交易時(shí)更傾向依賴基本面信息。這一推論與一些研究表明在中國(guó)股票市場(chǎng)信息效率的提高是一致的。相反,B...

【文章頁數(shù)】：227 頁

【學(xué)位級(jí)別】：博士

【文章目錄】：
Abstract
摘要
1.Introduction
2.Background
3.Herding Behavior:Fundamental or Non-Fundamental?
    3.1.Introduction
        3.1.1.Contribution of the Study
    3.2.Related Literature
        3.2.1.Hypothesis Development
    3.3.Methodology& Data collection
        3.3.1.Data Collection
        3.3.2.Methodology
    3.4.Empirical Results
        3.4.1.Descriptive Statistics of CSAD Sorted by Trading Volume
        3.4.2.Herding towards the Chinese Stock Market
        3.4.3.Herding Behavior during Rising and Falling Markets
        3.4.4.Herding behavior under Extreme Market Conditions
        3.4.5.The Effect of Liquidity
        3.4.6.The Effect of Important Macro-economic News Releases
        3.4.7.The Effect of Major Financial Crisis
        3.4.8.The Spill-over Effect
        3.4.9.The Evolution Pattern of Herding Intensity Over the Years
    3.5.Conclusion
4.The Impact of Limits of Arbitrage on Herding Behavior
    4.1.Introduction
        4.1.1.Contribution of the Study
    4.2.Related literature
    4.3.Data Collection& Methodology
        4.3.1.Data Collection
        4.3.2.Methodology
            4.3.2.1.Construction of Limits of Arbitrage Index
            4.3.2.2.Portfolio Construction& Herding Estimation
            4.3.2.3.Herding Estimation
    4.4.Empirical Results
        4.4.1.Descriptive Statistics of CSAD and Limits of Arbitrage Index
        4.4.2.The effect of Limits of Arbitrage
        4.4.3.Asymmetric Effect of Limits of Arbitrage on Herding Behavior During Rising and Falling Markets
        4.4.4.Asymmetric Effect of Limits Arbitrage on Herding Behavior Over the Years
    4.5.Conclusion
5.The effect of Changes in Investor's Fear on Herding Behavior
    5.1.Introduction
        5.1.1.Contribution of the Study
    5.2.Review of literature
    5.3.Data collection& Methodology
        5.3.1.Data collection
        5.3.2.Methodology
            5.3.2.1.Portfolio based-VIX index Construction
            5.3.2.2.Herding Intensity Estimation
    5.4.Empirical Results
        5.4.1.Descriptive Statistics of CSAD and VIX Index
        5.4.2.TThe Effect of Extremely Large and Small Changes in Investor's Fear on Herding Behavior
        5.4.3.The Asymmetric Effect of Herding Behavior in Periods with Positive and Negative VIX Index
        5.4.4.Asymmetric Effect of Different Degrees of Changes in The VIX(Positive& Negative)on Herding Behavior
        5.4.5.Asymmetric Effect of Changes in Investor's Fear on Herding Behavior During Up and Down Markets
    5.5.Conclusion
6.The Relationship Between Herding Behavior& Idiosyncratic Volatility
    6.1.Introduction
        6.1.1.Contribution of the Study
    6.2.Related literature
    6.3.Data Collection& Methodology
        6.3.1.Data Collection
        6.3.2.Methodology
            6.3.2.1.Idiosyncratic Volatility Estimation
            6.3.2.2.Portfolio based-Idiosyncratic Volatility Construction
            6.3.2.3.Herding Intensity Estimation
    6.4.Empirical Results
        6.4.1.Descriptive Statistics of CSAD
        6.4.2.Herding towards the Chinese Stock Market
        6.4.3.The Effect of Idiosyncratic Volatility
        6.4.4.Asymmetric Effect of Idiosyncratic Volatility on Herding Behavior during Rising and Falling Markets
    6.5.Conclusion
7.Herding Behavior Response to the Chinese Investor’s Sentiment
    7.1.Introduction
        7.1.1.Contribution of the Study
    7.2.Related literature
    7.3.Methodology and Data Collection
        7.3.1.Data collection
        7.3.2.Methodology
            7.3.2.1.Portfolio Construction"High& Low Sentiment Periods"
            7.3.2.2.Monthly Herding Intensity Estimation
    7.4.Empirical Results
        7.4.1.Descriptive Statistics of CSAD,CICSI index and ISI index
        7.4.2.Monthly Herding towards the Chinese Stock Market
        7.4.3.Effect of Investors'Sentiment(CICSI)on Herding Behavior
        7.4.4.Effect of Investors'Sentiment(ISI)on Herding Behavior
        7.4.5.Asymmetric Effect of Investors'Sentiment(CICSI)on Herding Behavior during Rising and Falling Markets
        7.4.6.Asymmetric Effect of Investors'Sentiment(ISI)on Herding Behavior during Rising and Falling Markets
    7.5.Conclusion
8.Conclusion
Acknowledgement
References



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