上海A股與H股市場從眾行為之探討－以市場極端變化與滬港通期間為例

The Herding Behavior of Shanghai A Shares and H Shares Market during extreme market movements and Shanghai-Hong Kong Stock Connect

賴藝文(Yih-Wenn Lai)

《兩岸金融季刊》 4卷3期 (2016/09) Pp. 33-49

摘要

本研究探討上海A股與香港H股市場是否存在從眾行為，以及市場極端情況、金融風暴與滬港通期間從眾行為的變化，並探討滬港通前後兩市場風險與報酬間連結的變化。實證結果顯示，A股在市場上漲，大盤跌深與高波動期間存在從眾行為。H股市場在全期間存在Gebka & Wohar(2013)提出的負向從眾行為，僅在投資人情緒低時存在從眾行為。比較次級房貸，歐債危機與滬港通期間，兩市場從眾行為的變化，我們發現A股市場從眾行為漸漸消失，H股市場的負向從眾行為越來越明顯。滬港通後A股與H股的風險與報酬間的相互影響幅度增加，資訊傳遞速度加快。本研究的重要投資意涵為透過滬港通，H股市場報酬與風險對於A股市場的影響程度提高。

並列摘要

This paper studies the herding behavior between the Shanghai A-share and Hong Kong H-share markets in extreme market conditions as well as financial crisis and Shanghai-Hong Kong Stock Connect (SHKSC) periods. In addition, the relations of risk and return between two markets during SHKSC are explored. We find that in A-share market, herding is more pronounced in the up market, extremely negative bias and high volatility states. While H-share market exist obvious negative herding behavior mentioned by Gebka & Wohar (2013), herding occurs only when there is a lack of liquidity. Compare with periods of US subprime mortgage crisis, European debt crisis, and SHKSC, the herding behavior of A-share market decline over time, but negative herding behavior of H-share increase. Finally, the degree of influence of the H-share market on the A-share market increases after the introduction of SHKSC.

並列關鍵字

Herding Behaviors ； Stock Market ； Extreme Market ； Financial Crisis

參考文獻

Baker, M.,Wurgler, J.,Yuan, Y.(2012).Global, Local, and Contagious Investor Sentiment.Journal of Financial Economics.104,272-287.

Balcilar, M., R. Demirer and S. Hammoudeh (2012), “Market Regimes and Herding Behavior in Chinese A and B Shares,” Working Paper.

Bikhchandani, S.,Sharma, S.(2001).Herd Behavior in Financial Markets: A Review.IMF Staff Papers.47,279-310.

Blasco, N.,Corredorb, P.,Ferreruela, S.(2011).Does Herding Affect Volatility? Implications for the Spanish Stock Market.Quantitative Finance.12,311-327.

Blasco, N.,Ferreruela, S.(2008).Testing Intentional Herding in Familiar Stocks: an Experiment in an International Context.The Journal of Behavioral Finance.9,72-84.