摘要
金融市场微观结构理论和行为金融学的兴起引起了人们对证券市场羊群效应的广泛关注。在收集中国深市和沪市B股数据的基础上,采用个股横截面收益率的绝对偏离度指标检验B股市场的羊群效应。结果发现,和A股市场一样,B股同样存在显著的羊群效应,而且深市B股羊群效应强于沪市B股。如果以2001年2月19日B股向国内个人投资者开放作为分界点,开放后的羊群效应比开放前更显著。
The emergence of the theory of financial market micro - setup and behavior - finance has aroused extensive focus on the herd effect in securities market. On the basis of collecting the data of A - shares and B - shares in Shanghai Stock Exchange and Shenzhen Stock Exchange, the herd effect for B - shares market is tested through absolute deviation indices by using individual stock cross - section yield rate. The result shows that there is prominent herd effect of B - shares market, same as that of A - shares market, and that the herd effect of B - shares in Shenz- hen stock market is much stronger than that in Shanghai stock market. If opening the B - shares market to domestic retail investors on February 19, 2001 is considered to be a line of demarcation, the herd effect afterwards is much more prominent than before.
出处
《河南金融管理干部学院学报》
CSSCI
2008年第1期100-103,共4页
Journal of Henan College of Financial Management Cadres
关键词
B股
羊群效应
绝对偏离度
B - shares
herd effect
absolute deviation
