| 基于私人信息传递的周期性羊群行为与中国股市的实证 |
| |
| 引用本文： | 舒建平,王苏生,李志超.基于私人信息传递的周期性羊群行为与中国股市的实证[J].运筹与管理,2018,27(3):168-174. |
| |
| 作者姓名： | 舒建平 王苏生 李志超 |
| |
| 作者单位： | 1.湘潭大学 商学院,湖南 湘潭 411105; 2.哈尔滨工业大学 深圳研究生院,广东 深圳 518055 |
| |
| 基金项目： | 湖南省教育厅重点项目(13A097);湖南省社会科学基金项目(15YBA339) |
| |
| 摘 要： | 论文构建了一个基于私人信息传递的羊群行为演化模型,指出,在私人信息不断转化为公共信息的过程中,受正反馈效应、饱和效应和投资者过度反应引发收益的反转驱动,羊群行为呈现“出现→增强→减弱、消失→反向羊群行为出现→增强→减弱、消失…”的周期性演化规律。基于我国A股市场的实证显示,上述特征的周期性羊群行为的确存在。
|
| 关 键 词： | 私人信息传递 周期性羊群行为 正反馈效应 饱和效应 反转 |
| 收稿时间： | 2013-08-06 |
Cyclical Herding Behavior Based on Transformation of Private Information and Empirical Study of Chinese Stock Market |
| |
| SHU Jian-ping,WANG Su-sheng,LI Zhi-chao.Cyclical Herding Behavior Based on Transformation of Private Information and Empirical Study of Chinese Stock Market[J].Operations Research and Management Science,2018,27(3):168-174. |
| |
| Authors: | SHU Jian-ping WANG Su-sheng LI Zhi-chao |
| |
| Affiliation: | 1.Business School of Xiangtan University, Xiangtan 411105, China; 2.Harbin Institute Technology Shenzhen Graduate School, Shenzhen 518055, China |
| |
| Abstract: | The paper constructs an evolution model of herding behavior based on transformation of private information, and points out that the evolution of herding behavior presents a character of “appeared→enhanced→weekend and disappeared→opposite herding behavior appeared→enhanced→weekend and disappeared…” driven by positive feedback effect, saturation effect and return reversal led by investors’ overreaction in the process of private information transferring to public information. An empirical research of Chinese A-share market shows that cyclical herding behaviorwith thecharacteristics above does exist. |
| |
| Keywords: | transformation of private information cyclical herding behavior positive feedback effect saturation effect reversal |
| 本文献已被 CNKI 等数据库收录！ |
| 点击此处可从《运筹与管理》浏览原始摘要信息 |
|
点击此处可从《运筹与管理》下载全文 |
