我国A股房地产板块羊群效应研究
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引用本文:和占琼,彭嘉茜,柴正猛.我国A股房地产板块羊群效应研究[J].经济数学,2019,(2):49-56
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作者单位
和占琼,彭嘉茜,柴正猛 (昆明理工大学 管理与经济学院,云南 昆明 650093) 
中文摘要:借助CSAD模型、马尔科夫转换模型和GARCH模型的研究结果表明我国A股房地产板块存在明显的羊群效应且存在如下特点:非对称性,扩张期较衰退期更为显著;规模差异性,大盘股较中小盘股更为显著;房地产调控政策影响的非对称性,紧缩政策较之宽松政策会诱发更加明显的羊群效应;产业链传染性,上下游行业中的羊群效应产生影响.非系统性风险和系统性风险都对A股房地产板块羊群效应产生了促进影响,且系统性风险的影响较大.
中文关键词:金融学  羊群效应  马尔科夫转换模型
 
Research on Herding Behavior of A-share Real Estate Sector in China
Abstract:Empirical research using the CSAD model,the Markov-switching model and GARCH model show that the A-share real estate sector in China has obvious herding effects and has the following characteristics: asymmetry, the expansion period is more significant than the recession period; scale difference, the large-sized stock is more significant than small and medium-sized stocks; the asymmetry of real estate policies, herding effect is contagious among industrial chain, the herding effects in the upstream and downstream industries imitate that of real estate sector; Both non-systematic risks and systemic risks have had an impact on the herding effect of the A-share real estate sector, and systemic risk has a greater impact.
keywords:finance  herding behavior  Markov-switching model
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