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本文将对股票市场羊群行为的研究延伸到期货市场,采用ChristieandHuang(1995)模型,以横截面收益标准差度量羊群行为,并将其与市场极端波动虚拟变量进行回归,以检验市场在大幅涨跌时是否存在羊群行为。分别从整个市场和品种分类两个角度对我国6个期货交易品种5年内的数据进行分析,结果发现我国期货市场并不存在明显的羊群行为。这与一些研究发现我国股市存在明显羊群行为的结论有明显差异,这种差异是由期货市场的特殊性导致的。
In this paper, the study of the herding behavior in the stock market is extended to the futures market. Using the Christie and Huang (1995) model, the herd behavior is measured by the standard deviation of cross-sectional returns, and the regression is conducted with the extreme volatility of the market to test whether the market is significantly Whether the herd behavior exists when the price rises or falls. Analyzed the data of 6 futures traded in China within 5 years from two perspectives of the whole market and the classification of varieties, respectively, and found that there was no obvious herd behavior in China’s futures market. This is in line with the findings of some studies that there are obvious herd behavior in China’s stock market. This difference is caused by the particularity of the futures market.