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论文编号：	130
作者编号：	2120051944
上传时间：	2007/6/24 16:18:26
中文题目：	中国证券市场羊群行为及其成因研
英文题目：	Research on Herding Behavior a
指导老师：	黄福广
中文关键字：	羊群行为;行为金融;中国证券市场
英文关键字：	Herding Behavior;Behavioral Fi
中文摘要：	经典的金融理论以“理性人假设”为基本前提，然而近年兴起的行为金融学则是建立在非理性人的假设基础之上，从人的角度来考虑市场行为，充分考虑市场参与者心理因素的作用，是对经典金融理论的挑战和补充。行为金融学的重要研究方向之一就是羊群行为，在短期交易普遍存在的前提下，噪声交易者可能聚集在某些信息甚至是与基础价值毫不相关的信息或者谣言上进行交易，从而引起资源的不合理配置，引起证券价格与价值的偏离。当大量交易者聚集在某一无关信息或者谣言上发生极端反应时，就形成了“羊群行为”。 在检验中国证券市场是否存在羊群行为现象的时候，本研究首先从股票市场整体的角度运用CCK模型来考察其是否存在羊群行为，并对1999年和2006年两年的情况进行了对比；在验证了股票市场整体具有羊群行为之后，本研究又从证券投资基金的角度运用修正的LSV模型来考察基金市场时候存在羊群行为，并对2005年下半年和2006年上半年的情况进行了对比。在确定中国证券市场整体及基金市场均存在羊群行为现象之后，本研究探讨了中国羊群行为发生的原因。本文首先用实证研究的方法讨论了羊群行为发生的基础；随后针对中国羊群行为的各种现象讨论了其具体原因；最后针对中国证券市场羊群行为的特点和成因提出了相应的政策与建议。 本研究的主要结论有以下几点：首先，中国股票市场和基金市场均存在明显的羊群行为，由于二者互相关联，股票市场和基金市场羊群行为的产生具有相同的根本原因，相似的表层原因；第二，中国股票市场和基金市场的羊群行为类型相同，即均为投资者“杀跌”倾向大于“追涨”倾向，这也是由信息不对称、投资理念不成熟等相似原因导致；第三，预期和信心是羊群行为发生的基础；投资者的心理偏差、投资者结构不合理、信息不对称等因素均是羊群行为产生的原因。最后，随着证券管理制度的不断完善、个人以及机构投资者投资理念的不断成熟，中国股票市场和基金市场的羊群行为均有改善的途径和迹象。
英文摘要：	The classic financial theory is based on the assumption that people are rational. But the behavioral finance which has risen lately, on the contrary, is based on the assumption that people are irrational. Herding behavior is one of the research aspects of behavioral finance. On the premise of trading in the short term, noise traders may assemble on some information and rumors that even are completely irrelative with the basic value of securities. That will make the resources be collocated unreasonably, and herding behavior comes into being. When inspecting whether there is Herding Behavior in Chinese securities market, this research firstly puts the Herding Behavior on the whole stock market to the proof by using CCK model, and at the same time, this paper compared the situations in 1999 and 2006. After making sure that there exists herding behavior on the whole stock market, this research uses Amended LSV to prove whether there is Herding Behavior on Funds market, and also compared the situations of the second half of 2005 and the first half of 2006. Herding Behavior exists in Chinese securities market. So, this research investigates the causes of the formation of Herding Behavior in China. The paper firstly uses empirical test to probe the foundation of Herding Behavior; and then we talk about the specific reasons of every certain appearance in Chinese Herding Behavior; at last, we table proposals according to the specific characters of Herding Behavior in Chinese securities market. Finally, this research concludes that: there are Herding Behaviors in both stock market and funds market; more people like to chase drop in price; expects and confidences are the foundation of Herding Behavior; psychological bias, the unreasonable investors’structure and the information-asymmetry are the causes of Herding Behavior. With better political securities system and better investing logos, we can smooth out the The classic financial theory is based on the assumption that people are rational. But the behavioral finance which has risen lately, on the contrary, is based on the assumption that people are irrational. Herding behavior is one of the research aspects of behavioral finance. On the premise of trading in the short term, noise traders may assemble on some information and rumors that even are completely irrelative with the basic value of securities. That will make the resources be collocated unreasonably, and herding behavior comes into being. When inspecting whether there is Herding Behavior in Chinese securities market, this research firstly puts the Herding Behavior on the whole stock market to the proof by using CCK model, and at the same time, this paper compared the situations in 1999 and 2006. After making sure that there exists herding behavior on the whole stock market, this research uses Amended LSV to prove whether there is Herding Behavior on Funds market, and also compared the situations of the second half of 2005 and the first half of 2006. Herding Behavior exists in Chinese securities market. So, this research investigates the causes of the formation of Herding Behavior in China. The paper firstly uses empirical test to probe the foundation of Herding Behavior; and then we talk about the specific reasons of every certain appearance in Chinese Herding Behavior; at last, we table proposals according to the specific characters of Herding Behavior in Chinese securities market. Finally, this research concludes that: there are Herding Behaviors in both stock market and funds market; more people like to chase drop in price; expects and confidences are the foundation of Herding Behavior; psychological bias, the unreasonable investors’structure and the information-asymmetry are the causes of Herding Behavior. With better political securities system and better investing logos, we can smooth out the Herding Behavior years later.
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