| 投资者行为、资源依赖与供应链股价崩盘传染研究 |
| |
| 引用本文： | 徐飞.投资者行为、资源依赖与供应链股价崩盘传染研究[J].安徽师范大学学报(人文社会科学版),2018,46(4):122-133. |
| |
| 作者姓名： | 徐飞 |
| |
| 作者单位： | 安徽师范大学 经济管理学院,安徽 芜湖 241002;武汉大学 经济与管理学院,武汉 430000 |
| |
| 基金项目： | 安徽省哲学社会科学青年项目(AHSKQ2016D49)，安徽省教育厅高校人文社会科学重点项目(SK2017A0277) |
| |
| 摘 要： | 本文以 2000-2016 年申万 28 个行业股指为样本,通过构建供应链网络,实证检验行业间股价崩盘传染渠道与传染机制.研究显示:(1)股价崩盘会在存在重要供应链关系行业间传染,表现为供应链关系行业股价崩盘频率会增加目标行业股价崩盘概率;(2)投资者行为溢出效应检验显示,投资者异质信念、市场非流动性在供应链成员间存在显著溢出效应,是供应链股价崩盘传染投资者行为层面内在机制;(3)行业资源依赖传染机制分析框架显示,行业间由于资源依赖程度增加导致股价崩盘传染系数增强,供应链成员资源依赖是供应链股价崩盘传染实体层面机制.
|
| 关 键 词： | 供应链网络 股价崩盘 资源依赖 传染 |
Research on Investor Behavior,Resource Dependence and Supply Chain Share Price Collapse Infection |
| |
| XU Fei.Research on Investor Behavior,Resource Dependence and Supply Chain Share Price Collapse Infection[J].Journal of Anhui Normal University(Humanities and Social Sciences),2018,46(4):122-133. |
| |
| Authors: | XU Fei |
| |
| Abstract: | In this paper,we take the 28 industry index of Shen Wan in 2000-2016 years as samples,and construct a supply chain network to empirically test the channel and contagion mechanism of stock price col-lapse.The research shows:(1)the stock price collapse will be contagious among the important supply chain relations,which shows that the frequency of the stock price collapse in the supply chain relationship will in-crease the frequency of the stock price collapse in the target industry;(2 )the test of investor's behavior spillover effect shows that the investor's heterogeneous belief and the market non liquidity are significant a-mong the members of the supply chain.The spillover effect is the internal mechanism of the stock price col-lapse of the supply chain,(3 )the analysis framework of the industry resource dependence transmission mechanism shows that the increase of the contagious coefficient of the stock price collapse is enhanced by the increase of resource dependence, and the resource dependence of supply chain members is the mechanism of the supply chain stock price collapse contagious entity level mechanism. |
| |
| Keywords: | |
| 本文献已被 万方数据 等数据库收录！ |
|
