本文選題：中小板 + 創(chuàng)業(yè)板��； 參考：《華南理工大學(xué)》2013年碩士論文

【摘要】：在世界上每一個國家或地區(qū)，新興股市因其高風(fēng)險，高收益的特點(diǎn)，所以一直是金融理論研究的熱點(diǎn)，也受到投資者的熱炒。我國創(chuàng)業(yè)板和中小板在最近幾年備受關(guān)注，具備對中小企業(yè)融資的作用，可以幫助高新技術(shù)產(chǎn)業(yè)的跨越式發(fā)展。但是，我國的投資者是面臨的創(chuàng)業(yè)板市場和中小板是新興市場，新興市場與主板市場投資策略是不一樣的，而監(jiān)管部門需要根據(jù)新興市場的特征對其監(jiān)管策略進(jìn)行調(diào)整。 文章首先對羊群效應(yīng)進(jìn)行了總結(jié)，解釋了人類社會產(chǎn)生羊群效應(yīng)的原因，以及總結(jié)了中國資本市場羊群效應(yīng)的原因，，本文希望通過總結(jié)這些原因來找到得出解決羊群效應(yīng)的辦法。其次介紹了中國中小企業(yè)界定標(biāo)準(zhǔn)，回顧了近幾年中小企業(yè)的發(fā)展，分別總結(jié)創(chuàng)業(yè)板市場和中小板市場的條件，發(fā)現(xiàn)在創(chuàng)業(yè)板上市的公司其成熟度和市值都明顯要差于中小板的上市公司，分析這種現(xiàn)狀為接下來的實證分析做了鋪墊。接下來文章通過協(xié)整分析，格蘭杰因果檢驗，誤差修正模型等實證模型，分析檢驗得出中小板，創(chuàng)業(yè)板都受到主板市場的影響，并發(fā)現(xiàn)主板市場引領(lǐng)中小板與創(chuàng)業(yè)板市場的波動。接下來本文進(jìn)一步結(jié)合CSAD和GARCH設(shè)計了一個實證模型，結(jié)論表明，中國創(chuàng)業(yè)板和中小板市場存在羊群效應(yīng)，但創(chuàng)業(yè)板市場存在羊群效應(yīng)比中小板企業(yè)板存在的羊群效應(yīng)要更加顯著。股價上升時期的羊群效應(yīng)要小于股價下跌時期的羊群效應(yīng)大小。無論是中小板還是創(chuàng)業(yè)板，當(dāng)其羊群效應(yīng)較大時，其價格的波動就會變小。
[Abstract]:In every country or region in the world, because of its high risk and high yield, the emerging stock market is always the hot spot of financial theory research, and also hot speculation by investors. In recent years, China's growth Enterprise Market (gem) and small and Medium-sized Board (SMC) have attracted much attention. They have the function of financing small and medium-sized enterprises and can help the development of high-tech industry by leaps and bounds. However, China's investors are facing the gem market and the small and medium-sized market are emerging markets, emerging markets and the main market investment strategy is different, and the regulatory authorities need to adjust their regulatory strategies according to the characteristics of emerging markets. Firstly, the paper summarizes the herding effect, explains the reason of herding effect in human society, and summarizes the reason of herding effect in Chinese capital market. This paper hopes to find a solution to herding by summing up these reasons. Secondly, it introduces the definition standards of Chinese SMEs, reviews the development of SMEs in recent years, and summarizes the conditions of gem market and SME market respectively. It is found that the maturity of the listed companies in gem and market value are obviously worse than the listed companies on the small and medium board. The analysis of this situation paves the way for the next empirical analysis. Next, through cointegration analysis, Granger causality test, error correction model and other empirical models, the analysis and test show that the small and medium-sized board, gem are all affected by the main board market. And found that the main board market leading small and medium-sized board and gem market fluctuations. Then this paper designs an empirical model combined with CSAD and GARCH. The conclusion shows that there is herding effect in China's growth enterprise market and small and medium-sized market. But the herding effect in the gem market is more significant than that in the small and medium-sized enterprise board. The herding effect in rising stock price is smaller than that in falling stock price. Whether small or medium board or gem, when its herd effect is large, its price fluctuation will become smaller.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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