本文以CSAD模型为基础,通过构建股票收益率与加权市场收益率的偏离度指标(CSAD),选取沪深300指数成分股为样本,对我国股票市场的羊群效应进行检验。实证结果表明:我国股票市场在2011年到2014年间,整体上确实存在羊群效应现象;而且,上涨市场与下跌市场中羊群效应表现出非对称性,且上涨市场更为显著;同时,不同量级的股票市场羊群效应差异显著,大盘股表现的羊群效应比中小盘股票更加明显。这对投资者和股市制度建设都具有意义。This article constructs the deviation indicator(CSAD) between stock return and the weighted market return based on CSAD model, chooses the stocks composed CSI 300 Index to test whether there exists herd behavior in domestic stock market. The empirical conclusion shows that from 2011 to 2014, there exists herd behavior in domestic stock market. Besides, the asymmetry of the herd behavior shows that it is more obvious in rising market than the down market and also more obvious in large-cup stocks than small and media-cup stocks. This empirical conclusion is meaningful to the investors and the system of stock market.广义虚拟经济研究专项资助项目[项目编号:GX2013-1005(Y)
