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本文运用修正后的LSV模型对我国A股市场境外机构投资者2006年1季度至2007年3季度的投资数据进行羊群行为测度,发现存在较为严重的羊群行为;并对羊群行为值的特征做了分析。
This paper uses the modified LSV model to measure the herding behavior of the overseas institutional investors in A-share market in China from the first quarter of 2006 to the third quarter of 2007 and finds that there is a serious herd behavior; and the value of herding behavior Features have been analyzed.