中国股票市场羊群效应的实证研究

在修正Chang、Cheng和Khorana(2000)模型的基础上，综合使用CSSD和CSAD两个个股收益率偏离度指标建模．分别对沪、深股市的羊群效应进行了独立和联合实证研究。结果表明：沪、深股市及中国股市整体上都存在显的羊群效应，且市场下降时的羊群效应比市场上升时强。此结论在市场存在规模效应时也具有很好的鲁棒性。股市系统风险较大是诱发羊群效应的重要因素。羊群效应的不对称性可用行为金融学及其期望理论解释。

An Empirical Study of Herd Behavior in China's Equity Markets

Based on modifying the testing models of Chang, Cheng & Khorana(2000)~(), this paper uses equity return dispersion measured by CSSD and CSAD to establish two empirical models to apply for individual empirical test and joint empirical test of the presence of herd effect in Shanghai and Shenzhen equity markets. It concludes that herding in Shanghai, Shenzhen and the whole China's equity markets is significant and herding in down market is stronger than that in up market. The above results are robust across various size-based portfolios and over time. Furthermore, systematic risk rather than unsystematic risk tends to be a more important factor which leads to herding in China's equity markets. The asymmetric degree of herding in up and down markets could be explained by behavioral finance and its prospect theory.