运筹与管理2018，Vol.27Issue(3)：168-174,7.DOI:10.12005/orms.2018.0073
基于私人信息传递的周期性羊群行为与中国股市的实证
Cyclical Herding Behavior Based on Transformation of Private Information and Empirical Study of Chinese Stock Market
摘要
Abstract
The paper constructs an evolution model of herding behavior based on transformation of private informa-tion,and points out that the evolution of herding behavior presents a character of"appeared→enhanced→week-end and disappeared→opposite herding behavior appeared→enhanced→weekend and disappeared?"driven by positive feedback effect, saturation effect and return reversal led by investors' overreaction in the process of private information transferring to public information.An empirical research of Chinese A-share market shows that cyclical herding behaviorwith thecharacteristics above does exist.关键词
私人信息传递/周期性羊群行为/正反馈效应/饱和效应/反转Key words
transformation of private information/cyclical herding behavior/positive feedback effect/saturation effect/reversal分类
管理科学引用本文复制引用
舒建平,王苏生,李志超..基于私人信息传递的周期性羊群行为与中国股市的实证[J].运筹与管理,2018,27(3):168-174,7.基金项目
湖南省教育厅重点项目(13A097) （13A097）
湖南省社会科学基金项目(15YBA339) （15YBA339）
