羊群效應作為交易市場不可忽視的一種偏差行為,影響著黃金期貨市場的穩定性。單個投資者處於種種原因,根據其他投資者的行動而選擇買入或是賣出,有些投資者甚至盲目跟從投資行為,對黃金期貨市場的變動產生重大影響。本文以中國黃金期貨市場為研究對象,選取2015年5月15日至2019年12月31日為樣本區間,對羊群效應進行實證檢驗。運用CSAD模型對原始數據進行計算,分析整個黃金期貨市場羊群效應的存在性,並根據市場收益率的正負,將黃金期貨市場分為上行市場和下行市場,研究黃金期貨市場的羊群效應是否存在對稱性。實證結果表明,中國黃金期貨整體市場存在羊群效應,在市場收益率報為正和負兩個階段的羊群效應不存在對稱性,為負時的羊群效應嚴重程度略強。
Abstract
As a biased decision-making in Chinese trading market, the herding behavior influence the stability of the gold futures market. A single investor may choose to buy or sell based on the actions of other investors for various reasons. Even, some investors blindly follow the other investment behaviors, which has a significant impact on the gold futures market. This paper collects China's gold futures market and selects the sample interval from May 15, 2015 to December 31, 2019, to conduct an empirical test of the herd effect. Using the CSAD model to calculate the original data, we analyze the existence of the herd effect in the gold futures market. In addition, we divide the gold futures market into an up market and a down market according to the positive or negative market rate of return. The empirical results show that there is a herd effect in the gold futures market in China. Moreover, there is no symmetry in the herd effect in the two phases of positive and negative market returns, and the effect is slightly more severe when it is negative.
關鍵詞
行為金融 /
黃金期貨 /
羊群效應 /
CSAD模型
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Key words
Behavioral Finance /
Gold Futures Market /
Herding Behavior /
CSAD Model
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參考文獻
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