基于连续信念系统的中国a股市场不对称羊群行为分析-analysis of asymmetric herding behavior in chinese a - share market based on continuous belief system.docxVIP

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基于连续信念系统的中国a股市场不对称羊群行为分析-analysis of asymmetric herding behavior in chinese a - share market based on continuous belief system.docx

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基于连续信念系统的中国a股市场不对称羊群行为分析-analysis of asymmetric herding behavior in chinese a - share market based on continuous belief system

AbstractBasedontheextendedcontinuousbeliefsystem(CBS),thisarticleinvestigatestheexistenceofasymmetricherdingbehaviorandtheeffectsonvolatilityinChineseA-sharemarket.ThedatawechosenistheShanghaiandShenzhenA-sharemarketcapitalizationweightedmarketindexfromJuly3,1991toJuly31,2012,datafromCCERdatabase.Andaccordingtotheextentofregulationandeconomicbackground,theentireperiodisdividedintothreesub-periods:theinitialperiod,themiddleperiodandthecrisisperiod.Wecomparethethreesub-periodswitheachother.AfterdeducedinaccordancewiththeassumptionsoftheextendedCBScanuseanasymmetricGARCHmodeltosimulateasymmetricherdbehavior.EstimatedasymmetricGARCHmodelsuggests:thereareasymmetryherdingbehaviorsinallthreesub-periods.Interestingly,inthemiddleperiodandthecrisisperiod,thenegativereturnshockshaveagreaterimpactonherdingthanpositivereturnshocks,whichisthesameaswhatweusuallyseeinstockmarker.However,onthecontrary,intheinitialperiodthenegativereturnshockshaveagreaterimpactonherdingthanpositivereturnshocks,wecallitoppositeasymmetricherding。Besides,theperiodofcrisisisthemostasymmetricperiod.Subsequently,theEGARCHmodelisusedtoanalysiswhetherthereisasymmetryinvolatility.Theestimatedoutcomesindicatethatasymmetryindeedexistsinvolatility,anditscharacteristicsareexactlythesameasasymmetriccharacteristicsinherdbehavior.Sotheremustbeaclearlinkbetweenasymmetricherdingandasymmetricvolatility.Thisconclusiongivesastrongsupporttotheasymmetriceffecthypothesisofherding,andalsoshowsthatasymmetricherdingcanbeusedtoexplaintheasymmetricvolatility,especiallytheoppositeasymmetrywhichcouldnotbeexplainedwithtraditionalhypothesis(suchasleverage,thefeedbackeffect).ThisconclusionshowsthatasymmetricvolatilityinChinasA-sharemarketcanbereducedbypreventingtheoccurrenceofasymmetricherding.Keywords:asymmetricherdingasymmetricreturnvolatilityoppositeasymmetry目录摘要..................................................................................................................IAbstract................................................