Pacific-Basin Finance Journal ? February 2018 ? Volume 47
亚洲和拉美股市的制度依赖羊群行为
作者：M. Humayun Kabir(School of Economics & Finance, Massey University, Palmerston North, New Zealand)
Shamim Shakur(School of Economics & Finance, Massey University, Palmerston North, New Zealand)
摘要：本文利用平滑转化回归(STR)方法（该方法捕获了体制转换的非线性特征）,以市场状态和体制波动性为转移变量,研究了亚洲和拉丁美洲市场中投资者的羊群行为。尽管一些市场趋向于在高市场机制中保持市场共识，但与以往研究相比，中国、印度、马来西亚、新加坡、阿根廷和巴西没有显示出跨市场机制的任何非线性。除了阿根廷和巴西以外，大多数市场的投资者在高体制波动时表现出羊群行为。在市场压力时期，投资者羊群的驱动力是高波动性，而不是低回报率。一些市场出现了关于市场和波动性制度的反羊群效应。羊群在VIX的高波动状态中也很普遍。研究结果表明，美国市场情绪对投资者羊群行为有重要影响。
关键词：股票收益率；CSAD；羊群效应；平滑转化模型；亚洲股票市场；拉丁美洲股票市场
Regime-dependent herding behavior in Asian and Latin American stock markets
M. Humayun Kabir(School of Economics & Finance, Massey University, Palmerston North, New Zealand), Shamim Shakur(School of Economics & Finance, Massey University, Palmerston North, New Zealand)
ABSTRACT
By using the smooth transition regression (STR) approach, which captures nonlinearity with regime switches, this paper examines investors' herding behavior in Asian and Latin American markets across market states and volatility regimes considering them as the transition variables. While some markets tend to herd with market consensus in high market regime, China, India, Malaysia, Singapore, Argentina and Brazil, in contrast to previous findings, do not show any nonlinearity across market regimes. Investors in most of the markets except Argentina and Brazil herd in high volatility regime. The driving force in investors' herding is the high level of volatility rather than the low returns during the period of market stress. Some of the markets show the presence of adverse herding with both market and volatility regimes. Herding is also prevalent in high volatility regime of VIX. The findings suggest the important role of U.S. market sentiment affecting the herding behavior of investors.
Keywords: Stock returns; CSAD; Herding; Smooth transition model; Asian stock markets; Latin American stock markets
原文链接：https://www.sciencedirect.com/science/article/pii/S0927538X16301573#！
翻译：施懿
