| 基于CCK模型上证50指数羊群效应的实证研究 |
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| 引用本文： | 雷存俊. 基于CCK模型上证50指数羊群效应的实证研究[J]. 沈阳大学学报：自然科学版, 2008, 20(6): 32-36 |
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| 作者姓名： | 雷存俊 |
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| 作者单位： | 苏州大学,商学院,江苏,苏州,215021 |
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| 摘 要： | 采用CCK模型通过对上证50指数在2004-01-02—2008-06-30期间横截面绝对偏离度（CSAD）和市场收益率Rm的非线性关系进行检验，得出上证50指数在这期间存在羊群效应；并进一步通过两种方法对上涨时和下跌时的羊群效应进行检验，得出比以前研究更可信的结论：中国股市存在羊群效应并集中在上涨阶段，这种羊群效应会造成中国股市的不稳定。
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| 关 键 词： | 羊群效应 CSAD 非线性 |
Empirical Study on Herding Effect on 150 Index Stocks from Shanghai Stock Market Based on CCK Model |
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| LEI Cunjun. Empirical Study on Herding Effect on 150 Index Stocks from Shanghai Stock Market Based on CCK Model[J]. Journal of Shenyang University, 2008, 20(6): 32-36 |
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| Authors: | LEI Cunjun |
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| Affiliation: | LEI Cunjun(Business School,Suzhou University,Suzhou 215021,China) |
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| Abstract: | The relative theory of labour relationship in nowadays is analyzed. There exists the system shortage, which makes the impossibility to explain the disharmonious of labour relationship. The system shortage in theory induces the institutional malfunction in practice, which is incarnated by the interior and exterior institutional malfunctions. The actuality of institutional malfunctions is analyzed. |
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| Keywords: | CSAD |
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