上证a股及b股市场羊群效应比较探究

erdingBehaviorinShanghaiA,shareandB,shareMarketsSUNJian,quan,CHENXiao,long,SchoolofFinance,ShandongUniversityofFinanceandEconomics,Jinan250014,China,Abstract:Tostudytheherdingbehaviorofinvestorsinthedomesticstockmarket,thearticleselectedthedataofdailyrateofreturnfromJanuary4,2006toNovember19,2010inShanghaiA,shareandB,sharemarkets.Kmodelofherdingbehaviormeasure,weapplytheleastsquaresmethodandquantileregressiontoanalyzetheherdingbehaviorinthestockmarketrespectively.ThestudyshowsthatherdingbehaviorinB,sharemarkethasalwaysbeenstrongerthanthatinA,sharemarket.Theherdingbehaviorchangeswiththeriseandfallofthestockmarket;theeffectoftheherdingbehaviorvariesalongwiththequantiles.Thefindingshaveanimportantvalueforbothinvestorsandtheregulators.Keywords:herdingbehavior;stockmarket;quantile10regression11