创业板和深圳主板市场羊群效应的对比研究.pdfVIP

目 录 1 引言································································································1 1.1 选题的背景和意义······································································1 1.2 文献回顾··················································································2 1.2.1 国外文献综述····································································2 1.2.2 国内文献综述····································································3 1.2.3 文献评述 ··········································································6 1.3 论文的思路与结构······································································7 1.4 论文的创新与不足······································································7 2 资本市场羊群效应的相关理论 ······························································9 2.1 资本市场羊群效应的基本理论·······················································9 2.1.1 资本市场羊群行为的定义·····················································9 2.1.2 资本市场羊群行为的类型···················································10 2.1.3 资本市场羊群效应的产生机制·············································11 2.1.4 羊群效应对资本市场的影响················································13 2.2 检验和测度资本市场羊群效应的模型与方法···································14 2.2.1 资本资产定价模型····························································14 2.2.2 ARCH 模型······································································17 2.2.3 CH 方法··········································································19 2.2.4 CCK 方法········································································20 2.2.5 HS 方法··········································································22 3 创业板和深圳主板市场羊群效应及其程度的实证检验······························26 3.1 样本数据选取与处理·································································26 3.1.1 样