我国创业板市场投资者羊群行为的实证研究
毕业论文关键字：创业板市场 投资者行为 羊群效应 实证研究
Empirical Research on Investors’ Herd Behavior in Chinese GEM Market
Abstract: Herd instinct is one of most biggest obstacles to the steady development of Chinese growth enterprises market(GEM). We attempts to analyze the existence and the significance of herd behavior in Chinese GEM, which in order to provide the evidence in controlling the side effect of herd instinct for government regulation. Based on the analyzing of the present situation of Chinese GEM, we raise two hypothesis. The first is that Chinese GEM market exists herd behavior when the stock price is rising. The second is that the herd behavior of GEM is more significant than that of main board market. Then, using the data from the Aug 20,2014 to May 6, 2015 including both GEM market and main board market, we apply CSAD method to test the two previous assumptions step by step. The result turns out that Chinese GEM indeed exists herd instinct and the herd behavior of GEM is more significant than that of main board market. Finally, we raise some suggestions for government and investors on the aspects of disclosure of material public information, management of market manipulation, improvement of laws and regulations and investors’ psychology of investment.
Key words: GEM; investors’ behavior; herd instinct; empirical research
目录
一、引言 1
（一）研究背景与研究意义 1
（二）文献综述 2
（三）研究方法 6
（四）创新与不足 6
二、我国创业板市场羊群行为的理论分析 8
（一）羊群效应理论概述 8
（二）我国创业板发展现状与问题 9
（三）羊群行为存在性分析与假设一的提出 11
（四）羊群行为显著性分析与假设二的提出 12
三、我国创业板市场羊群行为的实证分析 15
（一）计量方法选择 15
（二）模型设计、数据来源与变量定义 16
（三）实证过程 18
四、启示与建议 22
（一）对监管层的建议 22
（二）对投资者建议 24
五、研究结论 26
一、引言
（一）研究背景与研究意义
自2009年10月以来，我国创业板市场已成立有吹冰年多的时间。创业板市场的设立促进了我国新兴产业发展，缓和了我国中小企业融资难的问题，丰富了我国资本市场的内涵，对于我国向创新型国家转型和中国特色社会主义市场经济等都起到了重要的推动作用。但是同时我们要注意的是，创业板市场在快速发展的同时也存在着诸多问题。其中，作为证券市场中的主体——投资者，其行为对于证券市场的稳定健康发展有着重大的影响，而羊群行为作为新兴市场中无法避免的行为具有重要的研究意义。
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