| 股票市场羊群行为的中美比较 |
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| 引用本文： | 郭磊,吴冲锋,凌传荣.股票市场羊群行为的中美比较[J].上海交通大学学报,2006,40(4):705-708. |
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| 作者姓名： | 郭磊 吴冲锋 凌传荣 |
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| 作者单位： | 1. 上海交通大学,金融工程研究中心,上海,200052;中国银行业监督管理委员会,河南监管局,郑州,450003
2. 上海交通大学,金融工程研究中心,上海,200052 |
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| 摘 要： | 结合最新的资产定价模型和股票市场羊群行为检验思路,提出了股票市场理性与非理性羊群行为检验方法,并将股票市场羊群行为实证研究扩展到不同市场之间的比较.实证研究表明,纽约股票市场的理性羊群行为程度高于中国股票市场,但其非理性羊群行为程度缺低于中国股票市场,中美股票市场交易制度及投资者理念的不同能够解释羊群行为差异.
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| 关 键 词： | 资产定价 因子载荷 理性羊群 非理性羊群 |
| 文章编号： | 1006-2467(2006)04-0705-04 |
| 收稿时间： | 2005-04-08 |
| 修稿时间： | 2005年4月8日 |
A Sino-American Comparative Research on Herding of Stock Market |
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| GUO Lei,WU Chong-feng,LING Chuan-rong.A Sino-American Comparative Research on Herding of Stock Market[J].Journal of Shanghai Jiaotong University,2006,40(4):705-708. |
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| Authors: | GUO Lei WU Chong-feng LING Chuan-rong |
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| Affiliation: | 1. Financial Eng. Center, Shanghai Jiaotong Univ., Shanghai 200052, China; 2. CBRC Henan Office, Zhengzhou 450003 |
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| Abstract: | This paper put forwards the measures of rational and irrational herding of stock market,which are used to compare the herding difference between different stock markets.The empirical results indicate that the rational herd of American stock market is stronger than that of Chinese stock markets,but the irrational herd of American stock market is weaker than that of Chinese stock markets.The results can be explained by the difference of market system and investors' ideas. |
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| Keywords: | asset pricing factor loading rational herd irrational herd |
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