兰州大学机构库 >数学与统计学院
基于GARCH模型族趋势特征下羊群行为的实证研究
Alternative TitleEmpirical study herd behavior characteristic trends based on GARCH models
程小亮
Thesis Advisor严定琪
2014-06-01
Degree Grantor兰州大学
Place of Conferral兰州
Degree Name硕士
Keyword上证指数 GARCH模型族 羊群行为 横截面绝对偏离度
Abstract   我国的证券市场发展历程比较短,正处于起步阶段。在股票市场中,由于投机的盛行,股市必会暴涨暴跌,同时股价也会大起大落,这会给中小投资者的利益造成巨大的损失。而羊群行为就是引起股市波动的主要原因之一。因此,对羊群行为进行研究很有必要。    目前对羊群行为的研究,主要是借助各类数学模型。本文主要借助GARCH模型族和横截面绝对偏离度(CSAD)与市场收益率()之间的关系对上证A股市场收益率进行实证分析,研究发现:上证A股市场在上涨时期的羊群行为力度比在下跌时期的羊群行为力度更要明显。在不同的行业板块中电信、综合板块的羊群行为明显强于其他行业板块,而食品饮料和钢铁板块不存在羊群行为。在不同的地区板块中,当指数处于上升时期,各地区板块的羊群行为没有差异,而当指数处于下跌时期,经济发达地区的羊群行为明显强于经济落后的地区。在流通股本数不同的股票中,上涨时期小流通股本的股票羊群行为比较明显;而在下跌时期,小流通股本数的股票却比其他板块的股票稳定。
Other Abstract  As we all know, the development of China's securities market is in its infancy. In the stock market, because of the prevalence of speculation, it will certainly spike. At the same time, the share price will be ups and downs, which will affect the interests of small investors. The herd behavior is one of the main reasons that cause volatility of the stock market. Therefore, it is necessary to study herd behavior.   In the past article, we do research on herd behavior mainly by means of various types of mathematical models. By contrary, this article makes an empirical analysis on the A shares of SSE with the GARCH models and the relationship between CSCD and .The study found: The intensity of herd behavior of A share market of SSE in periods of rising is more obvious than in periods of falling. Among all of the sectors, the telecommunications industry sector and comprehensive sector were stronger than other industry sectors, while herd behavior does not exist in the sector of food and steel plates. Among all of the plates in different areas, when the index is rising, no differences exist in herd behavior of the plates, however, when the index fell, herd behavior is stronger in economically developed areas than economically backward regions. In several different outstanding capital stocks, when the index is rising, the herd behavior of the outstanding capital stock is obvious; while the index fell, shares of small outstanding capital stock are more stable than other sectors.
URL查看原文
Language中文
Document Type学位论文
Identifierhttps://ir.lzu.edu.cn/handle/262010/225232
Collection数学与统计学院
Recommended Citation
GB/T 7714
程小亮. 基于GARCH模型族趋势特征下羊群行为的实证研究[D]. 兰州. 兰州大学,2014.
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