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1、?34?6?Vol.34, No.62014?6?Systems Engineering Theory 2.?,?100191; 3. Department of Economics, University of California, San Diego, La Jolla, CA 92093)?,?.?,?,?,?.?,?,?;?,?,?,?;?,?,?.?;?;?Does herd behavior increase stock price volatility?LIU Xiang-dong1, LIU Cheng1, LIU Shan-cun2, LU Jia-jun3(1. Dong
2、ling School of Economics and Management, University of Science and Technology Beijing, Beijing 100083, China; 2. School of Economics and Management, Beihang University, Beijing 100191, China; 3. Department of Economics, University of California, San Diego, La Jolla, CA 92093, USA)Abstract Research r
3、esults have even given the opposite conclusions on whether herd behavior increasestock price volatility. Assume that the change of view for traders buying or selling is mainly affected by their cognitive ability for the basic value of stock and other traders behaviors. This paper constructs a mathem
4、atical model describing the change of market average investment attitude and stock prices, andanalyzes the stability of the model by using the related theory of discrete dynamic system, and defines thedegree of herding behavior according to whether the financial market is stable. The results indicat
5、e that:in mild herding effect interval, stock prices accordingly present periodic micro-amplitude fluctuations; inmoderate herding effect interval, after experiencing a period of damping volatility, stock prices convergence to equilibrium, and there exists an optimal degree of herding behavior which
6、 encourages the stock price toapproach equilibrium in the fastest speed; in severe herding effect interval, stock prices irrationally sharplyfluctuate in large amplitudes which can lead to severe stock market bubble and the financial crisis.Keywords herd behavior; stock price volatility; stability o
7、f financial market1?,?.?,?,?.?,?.?,?;?,?.?: 2012-08-09?:?(71173012, 71371023);?(2013M540855)?:?(1985),?,?,?,?,?:?;?(1967),?,?,?,?,?:?;?(1964),?,?,?,?,?:?;?(1990),?,?,?,?:?.1362?34?,?.?.?, Scharfstein?1?,?()?,?.Lux2?,?,?,?,?. Avery?3?,?,?.?,?4?,?“?”,?.?5?1999?2003?,?,?,?.?6?2001?12?2004?3?,?,?.?,?,?.?,?,?.?,?. Lakonishok?7?,?,?,?,?. Wermers8?1975? 1994?,?,?,?,?.?9?GARCH?,?,?,?.?,?,?.?,?,?,?:?Christie?10?Chang?11?,?12,?13?.?,?,?,?(?).?,?.?,?.?,?.?,?,?.?14?Agent?,?,?.?,?,?,?15.?,?,?16.?,?,?,?.?,?,?,?;?,?,?.?,?.?Lux2,17?,?,?,?6?,?:?1363?.?,?,?,?;?,?;?,?.?,?,?,?,?;?,?,?.?,?:?
