我国证券市场羊群行为实证研究
摘要
有效金融市场是指市场中的证券价格总是可以充分体现可获得信息变化的影响。它与现代投资组合理论构成了标准金融理论的基石。然而，随着现代金融理论的发展，市场上越来越多异象受到人们的关注，在这些异象中就有著名的“羊群行为”异象。
在证券市场上，投资者之间经常会出现互相模仿的投资行为，羊群行为可以这样简单地表达，但更准确地说，羊群行为是一种在已有的社会公共信息(市场压力、市场价格、政策面、技术面)下，市场参与者观察他人行为并受其影响从而放弃自己的信念，做出与其他人相似行为的现象。
本文从收益率离散度的角度出发，实证研究在沪市中是否存在以市场指数为“领头羊”的羊群行为；对市场处于极端收益状态下，羊群现象是否存在以及如何表现进行探讨；同时对不同行业、不同规模股票的羊群行为等方面进行了验证。
本文主要得出的结论有：市场上升与下降阶段羊群行为表现不同，在市场上升期，市场表现出以市场指数为“领头羊”的羊群行为，市场下跌阶段的羊群行为逐渐减少，市场上升阶段的羊群行为强于下降阶段的羊群行为；市场出现极端收益时，更容易存在羊群现象，并且正的收益率更易出现羊群；电子通讯、综合、商贸、旅游、化工等行业的贝塔系数离散度与市场的羊群指标相关性较大，同时在各个行业内部，在一些时段存在明显的羊群；盘子越小的股票，其受市场的影响越大，但超小盘股的表现与市场的表现不是很一致，这很与我国证券市场过度炒作有关，超小盘股的特殊表现是由庄家控股所引起的。
In the securities market, investors often perform the mimic behavior, which is the simple description of herding behavior. More accurately, herding behavior is a phenomenon, which exhibits as that market participants imitate other participants behavior and neglect themselves belief after they observe other participants behavior and are affected by them.
Many scholars research the mechanism of herding behavior. They get some reasonable models, such as information cascade model based on the relationship between information and price, information acquisition model and reputation model based on executive compensation.
From the viewpoint of equity return dispersion, my paper researches empirically that whether herding behavior lead by market index exists, explores the performance under the situation of extreme market return, and also delves the herding behavior among different industries and sizes.
The main results my paper gets are that (1) during the up-market period, market presents herding lead by market index. Herding decreases in the period of down-market. The degree of herding in the up-market is higher than that in the down-market. (2) Herding exists under the extreme turn market and positive return causes herding easier. (3) The dispersion of fi coefficient of the industry of communication, trading and tour, integration and chemistry has significant correlation with the indicator of herding behavior, and during some period herding occurs. (4) The smaller the stock size is, the more the performance is affected by market. But the performance of the very small stock isn't coincident with market.
The paper is composed of five chapters. Chapter 1 defines the herding behavior. Chapter 2 reviews the theoretical research about herding behavior. Chapter 3 gives the literature review of empirical study. Chapter 4 does the empirical research of Shanghai stock market. Chapter 5 makes the conclusion.
在证券市场上，投资者之间经常会出现互相模仿的投资行为，羊群行为可以这样简单地表达，但更准确地说，羊群行为是一种在已有的社会公共信息(市场压力、市场价格、政策面、技术面)下，市场参与者观察他人行为并受其影响从而放弃自己的信念，做出与其他人相似行为的现象。
本文从收益率离散度的角度出发，实证研究在沪市中是否存在以市场指数为“领头羊”的羊群行为；对市场处于极端收益状态下，羊群现象是否存在以及如何表现进行探讨；同时对不同行业、不同规模股票的羊群行为等方面进行了验证。
本文主要得出的结论有：市场上升与下降阶段羊群行为表现不同，在市场上升期，市场表现出以市场指数为“领头羊”的羊群行为，市场下跌阶段的羊群行为逐渐减少，市场上升阶段的羊群行为强于下降阶段的羊群行为；市场出现极端收益时，更容易存在羊群现象，并且正的收益率更易出现羊群；电子通讯、综合、商贸、旅游、化工等行业的贝塔系数离散度与市场的羊群指标相关性较大，同时在各个行业内部，在一些时段存在明显的羊群；盘子越小的股票，其受市场的影响越大，但超小盘股的表现与市场的表现不是很一致，这很与我国证券市场过度炒作有关，超小盘股的特殊表现是由庄家控股所引起的。
In the securities market, investors often perform the mimic behavior, which is the simple description of herding behavior. More accurately, herding behavior is a phenomenon, which exhibits as that market participants imitate other participants behavior and neglect themselves belief after they observe other participants behavior and are affected by them.
Many scholars research the mechanism of herding behavior. They get some reasonable models, such as information cascade model based on the relationship between information and price, information acquisition model and reputation model based on executive compensation.
From the viewpoint of equity return dispersion, my paper researches empirically that whether herding behavior lead by market index exists, explores the performance under the situation of extreme market return, and also delves the herding behavior among different industries and sizes.
The main results my paper gets are that (1) during the up-market period, market presents herding lead by market index. Herding decreases in the period of down-market. The degree of herding in the up-market is higher than that in the down-market. (2) Herding exists under the extreme turn market and positive return causes herding easier. (3) The dispersion of fi coefficient of the industry of communication, trading and tour, integration and chemistry has significant correlation with the indicator of herding behavior, and during some period herding occurs. (4) The smaller the stock size is, the more the performance is affected by market. But the performance of the very small stock isn't coincident with market.
The paper is composed of five chapters. Chapter 1 defines the herding behavior. Chapter 2 reviews the theoretical research about herding behavior. Chapter 3 gives the literature review of empirical study. Chapter 4 does the empirical research of Shanghai stock market. Chapter 5 makes the conclusion.
引文
[1] 滋维，博迪等著，朱宝宪等译．投资学[M]．北京：机械工业出版社，2000
[2] 约翰 赫尔著，张陶伟译．期权期货和衍生证券[M]．北京：华夏出版社，1997
[3] 斯蒂芬，A．罗斯等著，吴世农，沈艺峰等译．公司理财[M]．北京：机械工业出版社，2000
[4] 罗伯特 S．平狄克等著，钱小军等译．计量经济模型与经济预测[M]．北京：机械工业出版社，1999
[5] 张亦春主编．金融市场学[M]．武汉：高等教育出版社，1999
[6] 李学，投资者收益、风险和行为研究，深圳证券交易所综合研究报告，2002，(12)：36-57
[7] 刘场阳，国外行为金融理论述评，经济学动态，2002，(3)：16-21
[8] 黄树青，行为金融学与数量金融学论争，经济学动态，2002(1)：54-59
[9] 李学，投资者收益、风险和行为研究，深圳证券交易所综合研究报告，2001，(12)：197-206
[10] 王永宏、赵学军，中国股市’惯性策略’和’把转策略’的实证分析，经济研究，2000，(6)：56-61
[11] 赵学军、王永宏，中国股市’自置效应’的实证分析，投资与证券，2001，(11)：44-48
[12] Banerjee Abhijit V.. A Simple Model of Herd Behavior", Quarterly Joumal of Economics, 1992,107(3):797-817
[13] Devenow.Andrea, and IvoWelch, Rational Herding in Financial Economics, European Economic Review, 1996,40(2) 603-616
[14] Nofsinger John R. and Richard W. Sias, Herding and Feedback Trading by Institutional and Individual Investors", The Journal of Finance,1999,27(4):547-591
[15] Shiller Robert J., "Conversation, Information, and Herd Behavior", The American Economic Review, 1995, 85(11)181-185
[16] Wermers Russ, "Mutual Fund Herding and the Impact on Stock Prices", The Journal of Finance,1999,(2):87-99
[17] Scharfstein David S., and Jeremy C. Stein, "Herd Behavior and Investment", The American Economic Review, 1990,80(1): 465-479
[18] Lakonishok Josef, Andrei Shleifer, and Robert W. Vishny, "Do Institutional
Investors Destabilize Stock Prices? Evidenceon Herding and Feedback Trading", Journal of Financial Economics, 1992,32(1): 23-43
[19] Grinblatt Mark, Sheridan Titman, and Russ Wermers, "Momentum Investment Strategies, Portfolio Performance, and Herding: As tudy of Mutual Fund Behavior", The American Economic Review,1995,85:1088-1105
[20] Hwang Soosung, Mark Salmon, "a new measure of herding and empirical evidence, November, 2001, working paper
[21] Chang Eric C., Joseph W. Cheng, and Ajay Khorana, "Aexamination of herd behavior in equity markets: An international perspective", Journal of Banking & Finance,2000,24:1651-1679
[22] 朱少醒、吴冲锋、张则斌，基于随机图论的股市羊群效应模型，系统工程理论方法应用，2000，9(1)：37-41
[23] 宋军、吴冲锋，基于分散度的金融市场羊群行为研究，经济研究，2001，(11)：17-23
[24] 施东晖、孙培源，基于CAPM的中国股市羊群行为研究——兼与宋军、吴冲锋先生商榷，经济研究，2002，(2)：23-27
[25] 刘明兴、罗俊伟，金融危机理论综述，经济科学，2000，(4)：1-7
[26] 陆剑清等著，投资心理学，沈阳：东北财经大学出版社，2000
[27] 陈斌、李信民、杜要忠，中国股市个人投资者状况调查报告，2002
[28] 施东晖，中国股市微观行为：理论与实证，上海：上海远东出版社，2001
[29] 彭惠，信息不对称下的羊群行为与泡沫——金融市场的微观结构理论，金融研究，2003，(11)：41-45
[30] 阳建伟、蒋馥，行为金融理论模型与实践，上海经济研究，2001，(4)：17-22
[31] 宋军、吴冲锋，证券市场中羊群行为的比较研究，统计与精算，2002，(1)：67-71
[32] 朱少醒、张则斌、吴冲锋，羊群效应与股票收益分布的厚尾特性，上海交通大学学报，1999，7(4)：33-37
[33] Welch Ivo. Herding amongs ecurity analysts, Journal of Financial Economics, 2002,58:369-396
[34] Trueman Brett, "Analyst Forecasts and Herding Behavior", Review of Financial Studies, 1995,(7) 97-124
[35] Oehler Andreas, and George Goeth-Chi Chao, "Institutional Herdingin Bond Markets", 2001, Bamberg University, working paper
[36] Melissas Nicolas, "Herd Behavior as an Incentive Scheme", 1999, working paper
[37] Lei Feng, and Mark S. Seasholes, "Herding and Information Flows in Emerging Markets", 2002, working paper
[38] Graham John R., "Herding among Investment Newsletters: Theory and Evidence, The Journal of Finance, 1999,(1)27-53
[39] Gleason Kimberly C., Ike Mathur, and Mark A. Peterson, "Intraday Analysis of Herding Behavior among the Sector ETFs", Bentley College and Southern Illinois University, 2001, working paper
[40] Bikhchandani Sushil,and Sunil Sharma, "Herd Behaviorin Financial Markets: Areview", 2000, working paper
[2] 约翰 赫尔著，张陶伟译．期权期货和衍生证券[M]．北京：华夏出版社，1997
[3] 斯蒂芬，A．罗斯等著，吴世农，沈艺峰等译．公司理财[M]．北京：机械工业出版社，2000
[4] 罗伯特 S．平狄克等著，钱小军等译．计量经济模型与经济预测[M]．北京：机械工业出版社，1999
[5] 张亦春主编．金融市场学[M]．武汉：高等教育出版社，1999
[6] 李学，投资者收益、风险和行为研究，深圳证券交易所综合研究报告，2002，(12)：36-57
[7] 刘场阳，国外行为金融理论述评，经济学动态，2002，(3)：16-21
[8] 黄树青，行为金融学与数量金融学论争，经济学动态，2002(1)：54-59
[9] 李学，投资者收益、风险和行为研究，深圳证券交易所综合研究报告，2001，(12)：197-206
[10] 王永宏、赵学军，中国股市’惯性策略’和’把转策略’的实证分析，经济研究，2000，(6)：56-61
[11] 赵学军、王永宏，中国股市’自置效应’的实证分析，投资与证券，2001，(11)：44-48
[12] Banerjee Abhijit V.. A Simple Model of Herd Behavior", Quarterly Joumal of Economics, 1992,107(3):797-817
[13] Devenow.Andrea, and IvoWelch, Rational Herding in Financial Economics, European Economic Review, 1996,40(2) 603-616
[14] Nofsinger John R. and Richard W. Sias, Herding and Feedback Trading by Institutional and Individual Investors", The Journal of Finance,1999,27(4):547-591
[15] Shiller Robert J., "Conversation, Information, and Herd Behavior", The American Economic Review, 1995, 85(11)181-185
[16] Wermers Russ, "Mutual Fund Herding and the Impact on Stock Prices", The Journal of Finance,1999,(2):87-99
[17] Scharfstein David S., and Jeremy C. Stein, "Herd Behavior and Investment", The American Economic Review, 1990,80(1): 465-479
[18] Lakonishok Josef, Andrei Shleifer, and Robert W. Vishny, "Do Institutional
Investors Destabilize Stock Prices? Evidenceon Herding and Feedback Trading", Journal of Financial Economics, 1992,32(1): 23-43
[19] Grinblatt Mark, Sheridan Titman, and Russ Wermers, "Momentum Investment Strategies, Portfolio Performance, and Herding: As tudy of Mutual Fund Behavior", The American Economic Review,1995,85:1088-1105
[20] Hwang Soosung, Mark Salmon, "a new measure of herding and empirical evidence, November, 2001, working paper
[21] Chang Eric C., Joseph W. Cheng, and Ajay Khorana, "Aexamination of herd behavior in equity markets: An international perspective", Journal of Banking & Finance,2000,24:1651-1679
[22] 朱少醒、吴冲锋、张则斌，基于随机图论的股市羊群效应模型，系统工程理论方法应用，2000，9(1)：37-41
[23] 宋军、吴冲锋，基于分散度的金融市场羊群行为研究，经济研究，2001，(11)：17-23
[24] 施东晖、孙培源，基于CAPM的中国股市羊群行为研究——兼与宋军、吴冲锋先生商榷，经济研究，2002，(2)：23-27
[25] 刘明兴、罗俊伟，金融危机理论综述，经济科学，2000，(4)：1-7
[26] 陆剑清等著，投资心理学，沈阳：东北财经大学出版社，2000
[27] 陈斌、李信民、杜要忠，中国股市个人投资者状况调查报告，2002
[28] 施东晖，中国股市微观行为：理论与实证，上海：上海远东出版社，2001
[29] 彭惠，信息不对称下的羊群行为与泡沫——金融市场的微观结构理论，金融研究，2003，(11)：41-45
[30] 阳建伟、蒋馥，行为金融理论模型与实践，上海经济研究，2001，(4)：17-22
[31] 宋军、吴冲锋，证券市场中羊群行为的比较研究，统计与精算，2002，(1)：67-71
[32] 朱少醒、张则斌、吴冲锋，羊群效应与股票收益分布的厚尾特性，上海交通大学学报，1999，7(4)：33-37
[33] Welch Ivo. Herding amongs ecurity analysts, Journal of Financial Economics, 2002,58:369-396
[34] Trueman Brett, "Analyst Forecasts and Herding Behavior", Review of Financial Studies, 1995,(7) 97-124
[35] Oehler Andreas, and George Goeth-Chi Chao, "Institutional Herdingin Bond Markets", 2001, Bamberg University, working paper
[36] Melissas Nicolas, "Herd Behavior as an Incentive Scheme", 1999, working paper
[37] Lei Feng, and Mark S. Seasholes, "Herding and Information Flows in Emerging Markets", 2002, working paper
[38] Graham John R., "Herding among Investment Newsletters: Theory and Evidence, The Journal of Finance, 1999,(1)27-53
[39] Gleason Kimberly C., Ike Mathur, and Mark A. Peterson, "Intraday Analysis of Herding Behavior among the Sector ETFs", Bentley College and Southern Illinois University, 2001, working paper
[40] Bikhchandani Sushil,and Sunil Sharma, "Herd Behaviorin Financial Markets: Areview", 2000, working paper
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