摘要
本文采用一种有效的羊群效应检验方法,对内地股票市场和香港市场进行检验。发现国内A股市场有明显的羊群效应;而香港市场却不存在。因而,从股市参与者投资行为的角度说明:与香港股票市场相比,我国内地股票市场还不成熟,并初步探讨了内地股票市场羊群效应的成因及市场中个股对好消息和坏消息的敏感度。
This paper applies the new effective statistical method to test the herd behavior of Shenzhen & Shanghai stock market and Hong Kong stock market. We found that the A share in Shenzhen & Shanghai stock market has the herd behavior, but in Hong Kong market has not. Therefore, based on the investment behavior our mainland stock market is not effective comparing to the Hong Kong stock market. Then, we analysis the reasons that cause the herd behavior of the mainland stock market and the sensitivity of the stock to the good news and bad news.
出处
《预测》
CSSCI
2002年第6期45-48,共4页
Forecasting
基金
国家973金融信息工程资助项目(G1998030418)
