CAJ | 학술논문

本文借鉴GCAPM模型对我国上海股票市场进行羊群行为检测：如果投资者对某一资产组合存在羊群行为，那么该组合的预期收益率将于市场上的平均预期收益率呈现非线性关系．实证检验结果表明我国上海股票市场中大部分的资产组合存在显著的羊群行为．
본문차감GCAPM모형대아국상해고표시장진행양군행위검측：여과투자자대모일자산조합존재양군행위，나요해조합적예기수익솔장우시장상적평균예기수익솔정현비선성관계．실증검험결과표명아국상해고표시장중대부분적자산조합존재현저적양군행위．
This paper use a new testing model to detect herd behavior on the Shanghai StockMarket. The new model which is derived from the basic idea of GCAPM implies that when investors herd on a given portfolio, there will hold a non-linear relationship between the expected return rate of that portfolio and the average return rate in the markets. Empirical test finds that a great number of portfolios exist herd behavior on the Shanghai Stock Market.