美元周期对沪深股市羊群效应的影响研究

• 作者： 骆小蓓 ¹ 刘恩猛 ¹
• 作者单位：
  1.  中国计量大学经济与管理学院
• 发布时间：2024-10-28

摘要: 羊群效应对金融市场的稳定、有效、规范运行有着重要影响。文章运用CSAD方法构建偏离度指标，利用2009—2023年的沪深300指数成分股进行了实证检验发现：在普通CASD模型下沪深300成分股总体上羊群效应并不显著，而在美元周期下，股票市场处于上涨阶段时，出现显著的羊群效应；分时间段检验时发现，在股票大波动时间段内， 美元强周期对股票羊群效应的影响更为显著，且相较于股票上涨阶段，下跌阶段羊群效应更明显，美元强周期存在显著的调节效应。

Abstract: Herd behavior has a significant impact on the stable, efficient, and standardized operation of financial markets. This article uses the CSAD method to construct a deviation index and conducts empirical tests on the constituent stocks of the Shanghai and Shenzhen 300 Index from 2009 to 2023. It is found that under the ordinary CASD model, the herd eff ect of the Shanghai and Shenzhen 300 constituent stocks is not signifi cant overall, but signifi cant herd eff ect occurs during the US dollar cycle and when the stock market is in an upward phase; When testing in diff erent time periods, it was found that during periods of high stock volatility, the strong US dollar cycle had a more signifi cant impact on stock herd behavior, and compared to the rising phase, the falling phase had a more pronounced herd behavior. The strong US dollar cycle had a signifi cant moderating eff ect.

• 分类： 应用经济学 >> 金融学
• 稿件状态： 已在期刊出版
期刊名称： 《中国商论》 2024年 第19期
• 引用： PSSXiv:202410.02426 (或此版本 PSSXiv:202410.02426V1)
  DOI:10.19699/j.cnki.issn2096-0298.2024.19.124
  CSTR:32012.36.PSSXiv.202410.02426
• 推荐引用方式： 骆小蓓,刘恩猛.美元周期对沪深股市羊群效应的影响研究.中国商论,2024(19).[DOI:10.19699/j.cnki.issn2096-0298.2024.19.124] (点此复制)