| 证券市场信息追随行为理论综述与实证研究 |
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| 引用本文： | 李斌,赵鹏飞.证券市场信息追随行为理论综述与实证研究[J].统计与信息论坛,2010,25(9):25-29. |
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| 作者姓名： | 李斌 赵鹏飞 |
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| 作者单位： | 1. 中央财经大学,金融学院,北京,100081
2. 中国劳动关系学院,经济管理系,北京,100048 |
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| 摘 要： | 国外对信息追随的研究已经持续了10多年,研究领域从最初的信息追随存在性的证明、贝叶斯假设的合理性发展到信息追随发生原因的探究、信息追随与价格的关系等方面,涉及领域已经较为广泛,但国内专门针对信息追随的研究并不多见。通过实证检验验证中国证券市场信息追随的存在性,研究表明：开放式证券投资基金运作过程中存在显著的信息追随行为,信息追随行为与基金收益密切相关,中国证券市场存在大量的短期投机行为。
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| 关 键 词： | 证券市场 信息追随 从众行为 |
Information Cascades in Securities Market: Review and Empirical Analysis |
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| LI Bin,ZHAO Peng-fei.Information Cascades in Securities Market: Review and Empirical Analysis[J].Statistics & Information Tribune,2010,25(9):25-29. |
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| Authors: | LI Bin ZHAO Peng-fei |
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| Institution: | 1.School of Finance,Central University of Finance and Economics,Beijing 100081,China;2.Department of Economic ＆ Management,China Institute of Industrial Relation,Beijing 100048,China) |
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| Abstract: | The research of informational cascades has lasted for more than ten years,which is widely studied in many fields such as the existence proof of informational cascades and rationality of Bayesian assumption,causes of informational cascades,and relationships between informational cascades,prices and market efficiency.Relatively,these are much less studies about informational cascades in domestic research.Following the phenomenon of informational cascades in securities market,we have distinguished information cascades from herd behavior,synthesized the latest research results of foreign scholars and verified the existence of it in China securities market through empirical tests.We sincerely hope that this paper could be beneficial to domestic experts on the research of this aspect. |
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| Keywords: | securities market information cascades herd behavior |
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