| 我国上海股票市场的羊群行为研究 |
| |
| 引用本文： | 陈晓迪,徐赐文.我国上海股票市场的羊群行为研究[J].中央民族大学学报(自然科学版),2011(3). |
| |
| 作者姓名： | 陈晓迪 徐赐文 |
| |
| 作者单位： | 中央民族大学理学院,北京,100081 |
| |
| 基金项目： | 国家自然科学基金，中央民族大学“211”工程项目 |
| |
| 摘 要： | 本文借鉴GCAPM模型对我国上海股票市场进行羊群行为检测：如果投资者对某一资产组合存在羊群行为，那么该组合的预期收益率将于市场上的平均预期收益率呈现非线性关系．实证检验结果表明我国上海股票市场中大部分的资产组合存在显著的羊群行为．
|
| 关 键 词： | 羊群行为 GCAPM 行业板块 |
Empirical Analysis of Herd Behavior on the Shanghai Stock Market |
| |
| CHEN Xiao-di,XU Ci-wen.Empirical Analysis of Herd Behavior on the Shanghai Stock Market[J].Journal of The Central University for Nationalities(Natural Sciences Edition),2011(3). |
| |
| Authors: | CHEN Xiao-di XU Ci-wen |
| |
| Institution: | CHEN Xiao-di,XU Ci-wen(Science school of Minzu University of China,Beijing 100081,China) |
| |
| Abstract: | This paper use a new testing model to detect herd behavior on the Shanghai StockMarket. The new model which is derived from the basic idea of GCAPM implies that when investors herd on a given portfolio, there will hold a non-linear relationship between the expected return rate of that portfolio and the average return rate in the markets. Empirical test finds that a great number of portfolios exist herd behavior on the Shanghai Stock Market. |
| |
| Keywords: | herd behavior GCAPM portfolio |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
