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中文摘要：
通过建立人工股票市场（ASM）模拟实际股票市场可以研究羊群行为的产生机理及其对市场的影响．短期中市场的羊群行为水平主要与收益率相互作用使得市场不稳定，长期中羊群行为水平与交易者对外部信息的重视程度、不知情交易者的比例以及市场流动性不足程度三个因素正相关．羊群行为并非收益率和股价偏离真实价值的根本原因而仅是一个中介变量，以上三个因素的变化通过市场中的羊群行为程度的变化使得收益率以及股价对真实价值的偏离程度的波动性发生变化．实证结果表明中国股票市场与国外较成熟的市场相比具有更加严重的羊群行为，其造成了收益率和股价较大的波动．
英文摘要：
This paper studies herd behavior by designing an artificial stock market model and analyzing its results in which way the true herd behavior and the spurious herd behavior can be differentiated. The result shows that, in the short run, herding interacts with the returns and destabilizing the market. In the long run, it is not the traders＇ herd behavior but the traders＇ disregard of discovering their own information, the low proportion of informed traders and the lack of market liquidity that are to blame for the anomalies in stock markets. Herding is only an intervening variable. Besides, this paper also finds out that, due to immaturity, there is more herd behavior in the Chinese stock markets than in the foreign mature markets and thus its returns are more volatile and the stocks＇ prices are more likely to deviate from their true values significantly.
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