CAJ | 학술논문

选用 CSAD（横截面收益标准差）模型，对我国螺纹钢期货市场在牛市和熊市中是否存在羊群效应分别进行了实证检验。检验结果表明：我国螺纹钢期货市场在牛市与熊市中均存在羊群效应，且羊群效应以非对称的形式呈现出来，即羊群效应在熊市中的表现要明显多于牛市，而在市场处于震荡阶段则不存在羊群效应。这一结果可为投资决策和政策制定提供参考。
선용 CSAD（횡절면수익표준차）모형，대아국라문강기화시장재우시화웅시중시부존재양군효응분별진행료실증검험。검험결과표명：아국라문강기화시장재우시여웅시중균존재양군효응，차양군효응이비대칭적형식정현출래，즉양군효응재웅시중적표현요명현다우우시，이재시장처우진탕계단칙불존재양군효응。저일결과가위투자결책화정책제정제공삼고。
With the development of the steel futures market,it has become one of the most important products of Chinaˊs futures industry. This paper uses CSAD( equal-weighted calculation method of market return and level of deviation)model to do an empirical test on steel futures market. Based on the results,this article show that China’s steel futures market’s herding behavior is obvious whenever in rising phase or falling phase. And the herding behavior in the rising phase is greater than in the falling phase formed as an asymmetric market. This result has important value for the specific invest-ment decision-making and policy construction.