论文部分内容阅读
过去25年,金融市场的羊群效应1(Herd Behavior),即交易者无视私人信息而追随群体行为,引起广泛关注。大量理论文献已经勾勒出羊群效应产生(即便人人完全理性)的抽象机制。但直到现在,相关实证研究已经完全与理论分析框架脱钩。实证研究只是在简单地寻找那些交易规模成群的统计证据,单纯地把集群现象解释为羊群行为。然而,决策的集群化也许并非是羊群效应的结果,比如对政府公告的普遍反应。现有的实证文献无法区分羊群行为的真伪。
Over the past 25 years, the Herd Behavior 1 of financial markets has traced widespread concern because traders ignores private information and follows group behavior. A great deal of theoretical literature has outlined the abstract mechanism of herd effects, even if all are perfectly rational. However, until now, relevant empirical research has completely decoupled from the theoretical analysis framework. Empirical studies are simply looking for statistical evidence that flocks of transactions are large enough to simply interpret cluster phenomena as herd behavior. However, the clustering of decisions may not be the result of a herding effect, such as a general response to government bulletins. The existing empirical literature can not distinguish the authenticity of herd behavior.