行为金融视角下的联动效应研究——中国股票市场的实证

摘要：

Comovement,which refers to positive correlation of returns among different traded assets,is a common phenomenon in Capital Market. In reality,the high covariance of asset prices,relative to the covariance of their fundamentals,seems to defy rational explanation of the traditional “fundamentals view. This paper introduces an alternative view of comovement based on behavioral finance,which distinguishes three kinds of comovement: the category-based comovement,the habitat-based comovement and the information-driven comovement,and presents models of each of the three types of comovement. Then an empirical research is done in this paper using data on stock inclusions into and deletions from the Shanghai 180 Stock Index,It is found that when a stock is added to the index,its beta and R-squared with respect to the index increase,while the vice versa. These results are broadly supportive of the category and habitat views of comovement in Chinese stock market.

关键词： comovement Behavioral finance, Bounded rational Chinese stock market

作者: 茅宁

作者单位: 南京大学管理学院

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:中文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）