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运用股价分散度模型,对我国沪深股市金融、公共事业、地产、综合、工业、商业六大行业投资的羊群行为进行实证检验,并扩展研究了股价涨跌幅限制政策对股市羊群行为的影响及上涨与下跌不同市场状态下羊群行为严重程度的异同性。实证结果显示,并非所有行业的股票投资均存在羊群行为;实施股价涨跌幅限制政策之后,沪深两市几乎所有行业的股票投资均表现出显著的羊群行为;而在上涨与下跌两种不同的市场状态下,只有沪市工业、沪市商业与深市综合三种行业的投资表现出羊群行为的不对称性。
This paper uses the stock price dispersion model to test the herd behavior of investment in six major industries of finance, public utilities, real estate, industry, commerce in Shanghai and Shenzhen stock exchanges, and expands the research on the herding behavior of stock market And the similarities and differences in the severity of herding in different market conditions between rising and falling. Empirical results show that not all sectors of the stock investment are herd behavior; the implementation of the stock price limit policy, the stock market in almost all industries in Shanghai and Shenzhen stock markets showed significant herd behavior; in the rise and fall of the two Under different market conditions, only the investment in the three industries of Shanghai Industrial, Shanghai Commercial and Shenzhen Composite shows the asymmetry of herding behavior.