Cyclical Herding Behavior Based on Transformation of Private Information and Empirical Study of Chinese Stock Market

doi:10.12005/orms.2018.0073

Operations Research and Management Science ›› 2018, Vol. 27 ›› Issue (3): 168-174.DOI: 10.12005/orms.2018.0073

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Cyclical Herding Behavior Based on Transformation of Private Information and Empirical Study of Chinese Stock Market

SHU Jian-ping^1,2, WANG Su-sheng², LI Zhi-chao²

1.Business School of Xiangtan University, Xiangtan 411105, China;
2.Harbin Institute Technology Shenzhen Graduate School, Shenzhen 518055, China

Received:2013-08-06 Online:2018-03-25

基于私人信息传递的周期性羊群行为与中国股市的实证

舒建平^1,2, 王苏生², 李志超²

1.湘潭大学商学院,湖南湘潭 411105;
2.哈尔滨工业大学深圳研究生院,广东深圳 518055

作者简介:舒建平(1975-),男,湖南溆浦人,副教授,博士,博士后,主要从事行为金融、金融工程等研究;王苏生(1969-),男,教授、博士生导师,博士,研究方向为金融工程;李志超(1978-):女,博士生,研究方向为金融工程。
基金资助:
湖南省教育厅重点项目(13A097);湖南省社会科学基金项目(15YBA339)

Abstract

Abstract: The paper constructs an evolution model of herding behavior based on transformation of private information, and points out that the evolution of herding behavior presents a character of “appeared→enhanced→weekend and disappeared→opposite herding behavior appeared→enhanced→weekend and disappeared…” driven by positive feedback effect, saturation effect and return reversal led by investors’ overreaction in the process of private information transferring to public information. An empirical research of Chinese A-share market shows that cyclical herding behaviorwith thecharacteristics above does exist.

Key words: transformation of private information, cyclical herding behavior, positive feedback effect, saturation effect, reversal

摘要： 论文构建了一个基于私人信息传递的羊群行为演化模型,指出,在私人信息不断转化为公共信息的过程中,受正反馈效应、饱和效应和投资者过度反应引发收益的反转驱动,羊群行为呈现“出现→增强→减弱、消失→反向羊群行为出现→增强→减弱、消失…”的周期性演化规律。基于我国A股市场的实证显示,上述特征的周期性羊群行为的确存在。

关键词: 私人信息传递, 周期性羊群行为, 正反馈效应, 饱和效应, 反转

CLC Number:

F830.9

SHU Jian-ping, WANG Su-sheng, LI Zhi-chao. Cyclical Herding Behavior Based on Transformation of Private Information and Empirical Study of Chinese Stock Market[J]. Operations Research and Management Science, 2018, 27(3): 168-174.

舒建平, 王苏生, 李志超. 基于私人信息传递的周期性羊群行为与中国股市的实证[J]. 运筹与管理, 2018, 27(3): 168-174.

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Cyclical Herding Behavior Based on Transformation of Private Information and Empirical Study of Chinese Stock Market

基于私人信息传递的周期性羊群行为与中国股市的实证

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