CAJ | 학술논문

基于股票市场上升和下降的非对称性以及ARCH效应，提出检验羊群行为的新模型——AAE—CCK模型。对深圳成份股周收益率数据羊群行为的静态分析表明，相对于CCK、E—CCK和A—CCK模型而言，AAE—CCK模型有较好的检验效果和稳健性。不同样本区间数据的检验表明，2007年前后深圳成份股的羊群行为比较显著。对深圳成份股日收益率数据的动态研究显示，深证股票市场一直存在着羊群现象，并且呈逐渐减弱的趋势。深证股市下跌时的羊群行为始终强于股市上涨时的羊群行为。这种羊群行为非对称性特征的发现，不仅弥补了Tan et al．（2008）对深圳股市羊群行为研究的不足，而且很好地解释了股票市场的“慢涨快跌”现象。
기우고표시장상승화하강적비대칭성이급ARCH효응，제출검험양군행위적신모형——AAE—CCK모형。대심수성빈고주수익솔수거양군행위적정태분석표명，상대우CCK、E—CCK화A—CCK모형이언，AAE—CCK모형유교호적검험효과화은건성。불동양본구간수거적검험표명，2007년전후심수성빈고적양군행위비교현저。대심수성빈고일수익솔수거적동태연구현시，심증고표시장일직존재착양군현상，병차정축점감약적추세。심증고시하질시적양군행위시종강우고시상창시적양군행위。저충양군행위비대칭성특정적발현，불부미보료Tan et al．（2008）대심수고시양군행위연구적불족，이차흔호지해석료고표시장적“만창쾌질”현상。
Based on the ARCH effect and asymmetry under up and down markets, we propose the AAE - CCK model to test for herding behavior in stock market. The static analysis based on weekly data of stock returns in Shenzhen Exchange shows that in comparison with CCK, E - CCK and A - CCK, the use of AAE -CCK can obtain better testing results. Analyzing the different sample intervals, we find evidence that herding behavior in Shenzhen market is relatively significant around 2007. The dynamic analysis based on daily data indicates that herding behavior always exists in Shenzhen market and gradually becomes weaker and weaker over time. The herding behavior during rising markets is always stronger than that during falling. This finding of asymmetric herding behavior under market ups and downs makes up the shortage of the investigation of herding behavior in Shenzhen market in Tan et al. （2008）, but also can well explain the phenomenon that stock prices always increase slowly and decrease quickly.