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《empirical test for sequential herd behavior in china's stock market——how do investors make decisions》由會員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在學(xué)術(shù)論文-天天文庫。
1、對外經(jīng)濟(jì)貿(mào)易大學(xué)碩士學(xué)位論文EmpiricalTestforSequentialHerdBehaviorinChina'sStockMarket--howdoinvestorsmakedecisions?姓名：符睿芬申請學(xué)位級別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：薛熠201105AbstractTheeconomicliteraturecontainsmanytheoreticalandempiricalanalysesofnon-sequentialherdbehaviorbutrelativelyfewstu
2、diesofsequentialherdbehavior．Thispaperaimstoaddressthatshortcoming．Incompleteinformationstaticgamemodelshowsthatindividualinvestorswillalwaysjudgethedealer’Ssituationaccordingtothepseudosignalthattheinstitutionalinvestorsend，andthenmakemeirdecisions．Thela
3、rgeramountofthestock’Svolumeheldbyinstitutionalinvestors，orthemorethefalseinformation，thelesstheindividualinvestors’profit．Empiricalherdbehaviortestbasedondatasamplefrom2010--08··30to2011—-03--03ofeachtransactionrecordsofallthestocktradinginShanghaisecuri
4、tiesmarketindicatesthat：1)SignificantsequentialherdingbehaviorofindividualinvestortoinstitutionalinvestorWasfound．2)Individualinvestorsshowpositivefeedbacktothechangeofmarketretuillandinstitutionalinvestors’behaviorinthesameperiod，whichinferthatindividual
5、investorsCangettradinginformationandreacttoitinaveryshortperiod．Institutionalinvestorshavepositivefeedbacktoone—periodlagmarketinformation．3)Accordingtothetestresults，wecaninferthatindividualinvestorsarenotinformationinvestor．Astoinstitutionalinvestors，me
6、yCaninfluenceindividualinvestorsandthewholemarket．Eveniftheydon’thavemoreinformationaboutthemarket，theyCanmanipulatethemarketbyusingtheircapitalpowerandtheirinfluencepowertoindividualinvestors’behavior．Keywords：sequentialherdbehavior,institutionalinvestor
7、s，individualinvestorsA．BackgroundI．IntroductionSecuritiesmarketreferstothe圈肛nofsupplyanddemandrelationshipformedfromtransactionofsecurityassetsanditsmechanism，itisthetransactionsplaceforbothsidesofthecapitalsupplyanddemandtorealizecurrencylendingandfinanc
8、ingthroughvariouschannels．StockmarkethasnUlllerOUSparticipants：enterprise，individual，government，financialinstitutions，thedepositfinancialinstitutionsandothersecuritiesregulators，thoseparticipantshavedaedalrelationsh
