中國股票市場在金融風暴期間的從眾行為

本篇論文採用Hwang and Salmon (2004)的個股系統風險橫斷面離散程度進行2008年金融風暴期間上海和深圳A股與B股從眾現象的檢測。樣本資料則是所選取指數的所有上市股票的每日β係數標準差。本篇論文亦採用VAR去檢定上海和深圳股票市場A股與B股間的領先落後關係。實證研究顯示中國股票市場在金融風暴期間確實存在從眾現象，其中上海股票市場是B股的的從眾現象較A股來的強，而在深圳股票市場則是A股的的從眾現象較A股來的強。在領先落後關係方面，上海和深圳兩個市場的A股和B股間都是相互影響的，並沒有顯著的領先落後關係。

關鍵字

A股； B股；金融風暴；從眾現象； VAR

並列摘要

This research uses cross-sectional dispersion of systematic risk for stocks proposed by Hwang and Salmon (2004) to test the herding phenomenon for A and B shares in both Shanghai and Shenzhen stock markets during 2008 financial crisis. The sampling data are daily standard deviation of β coefficient for every stock listed in the chosen index. This research also uses VAR to determine the relationship between A and B shares in both markets. The result shows Chinese stock markets indeed have herding phenomenon during financial crisis. In Shanghai stock market B shares’ herding effect is stronger than A shares’ whereas in Shenzhen stock markets A shares’ herding effect is stronger than B shares’. In terms of the leading and following relationship, in both Shanghai and Shenzhen Stock Markets, A and B shares have mutual influence.

並列關鍵字

A shares ； B shares ； financial crisis ； herding effect ； VAR

參考文獻

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國際替代計量

中國股票市場在金融風暴期間的從眾行為

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