摘要
本文采用CSAD模型,对我国上海证券市场上证50成分股2016年至2020年间975天的交易数据进行实证研究,通过区分熊市和牛市阶段对横截面绝对偏离度(CSAD)和样本组合平均收益率(RM)之间的关系进行测度,发现在熊市及牛市阶段,β1及β2的值均为正值,检验结果与散点图显示趋势相互印证,最终得出了我国上海证券市场在2016年至2020年间已不具有显著"羊群效应"的结论,并提出相关建议。
Based on the CSAD model,this paper makes an empirical study on the 975-day trading data of Shanghai 50 stocks in Shanghai stock market from 2016 to 2020.By distinguishing the bear market from the bull market,we measure the relationship between the cross-sectional absolute deviation(CSAD)and the sample portfolio average rate of return(RM).It is found that in the bear market and bull market stage,the values ofβ1 andβ2 are positive,and the test results and scatter chart show that the trend is mutually confirmed.Finally,it is concluded that China’s Shanghai securities market does not have a significant"herding effect"from 2016 to 2020,and puts forward relevant suggestions.
作者
夏凯俭
Xia Kaijian(School of Economics and Management,Shihezi University)
出处
《金融发展评论》
2020年第6期71-83,共13页
Financial Development Review
关键词
上海证券市场
CSAD模型
羊群效应
上证50
Shanghai stock market
CSAD model
Herding effect
Shanghai stock Exchange 50
