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在Sentana和Wadhwani的正反馈模型基础上,本文利用前期涨跌进行状态划分,建立了正反馈交易的Markov状态依赖模型,考察市场中的正反馈交易行为与羊群效应。通过对中国股市的实证研究,可以发现,股价不服从随机游走,在前期股价连续上涨或下跌的情况下,转移概率具有惯性;中国股市存在显著的状态相依的正反馈行为,在前期股价连续上涨的情况下,易激发羊群行为。监管者应注重市场价格的持续变动,投资者可以采用正反馈交易策略。
Based on the positive feedback model of Sentana and Wadhwani, this paper uses the previous ups and downs for the state division, and establishes the Markov state-dependent model of positive feedback trading to investigate the positive feedback trading behavior and herding effect in the market. Through the empirical research on Chinese stock market, we can find that the stock price does not obey the random walk, and the transfer probability has inertia when the previous stock price rises or falls continuously. There is a significant state-dependent positive feedback in the Chinese stock market. Rising circumstances, easy to stimulate herding behavior. Regulators should pay attention to the continuous changes in market prices, investors can use positive feedback trading strategy.