Investors' Beliefs,Herd Behavior And Stock Market Volatility Based On Asymmetric Information

After the appearance of historic bull market in the stock market in the second half year of 2014 to the first half year of 2015,it has entered into the stage of share price collapse and drop dramatically,and the total market value of the stocks in Shanghai and Shenzhen has evaporated 20% in just two months.In the several months,the go-go bull market of the stock has transformed into the flash crash,after the analysis on the reasons,the investors in the institutions profited the financed inside and the funding outside to push up the leverage,so that there were bull market bubbles in the stock market,which attracted numerous retail investors,in the late stage of share price collapse,they sold off the stocks,profited the selling of securities loans to sell short the stock market,which has caused the panic of the market.And during the course,there were serious following up for the investors of our stock market in chasing after go up and killing cheapen,and their hear behavior has caused important influence on the fluctuation of the stock market.In this article,I make researches on the influencing mechanism of the beliefs of investors in the perspective of information asymmetry in our stock market and the production and conduction of the herd behaviors,and then I further analyze the fluctuation and risk in using the herd behavior to our stock market.Based on the ready documents have weak connection,even disjointed with the empirical and theoretical model with the herd behavior,and the low frequency of the data can not reflect the transaction behavior,in this paper,I adopt the decision transaction model of asymmetric information sequence based on the estimated transaction data,and meet the shortcomings of the above questions by means of the analysis and herd measure on the empirical parts in the ways of Tick high frequency trading data.There are three parts of my paper,which are the microscopic transmission mechanism in the security margin trading policies and the herd behaviors in our stock market,the influencing mechanism in the trading scale and minds of investors and the herd behaviors,and the stylized facts between the herd behaviors and the stock fluctuation in our stock market.In the above three aspects of the research,there are close connection and application in the logic and method.First of all,in order to evaluate the new security trading policies pushed in August,3rd,in 2015 in Shanghai and Shenzhen,and also for the theoretical model for the estimating of theoretical model about the measure of herd behaviors,which can be used as the theoretical foundation for the following research on the other two respects,there will be an appropriate sequential decision trading model in accordance with the trading environment of our stock market in the chapter three,and the detailed contents include that introducing the limit on the shares rising or falling and limit on short selling,and other setups into the model,so that it can limit the behaviors of traders and the changes of the stock price,and depict the trading features of our stock market.On the basis of this mode,in this article,it will evaluate the influence of the new security trading policies on the behaviors of traders in our stock market by means of the proposition proving of theoretical model,point to that there will be misleading in the information passing on the security market because of the limit on the short selling,aggravate the herd motivations of the sellers,but it can limit the happen of herd behaviors of sellers in the perspective of limiting the motivation transformation of the herd in sellers.As to the theoretical model,it mentions the conclusions,in the paper,it uses the model of asymmetric information based on the estimated trading data to the Tick high frequency trading data in the total 244 trading days in 2015 to the underlying securities in the security trading to have calculation and analysis,and have sound inspection on the model parameter.It is shown in the conclusions that after the stock market disaster in 2015,compared with the stage of bull market,it has the features of reduced probability of information events,aggravating of bad news,reducing of the ration of the noise traders,and the aggravating of accuracy rate in the private signal,after the pushing of new security trading policies,there is prominent reducing in all the main features in the herd behaviors of sellers,and these phenomena have positive correlation with the reducing ration of the of the sellers in securities.It has shown in the above conclusions that the pushing of new security trading policies can help to reduce the high strength and long term herd behavior of sellers during the period of stock market crash,which can inhibit the anxious mode and balance the stock market.The research in this chapter is to provide the gist in the aspects of theory and empirical case for the policies,and also it can provide foundation for the theoretical model in the paper.Secondly,on the basis of ready theoretical mode,in this paper,it introduces the setup of trading scale in the model of sequential decision trading model based on the asymmetric information,it pays more attention to the influencing mechanism of sequential decision trading model to the minds of the investors,and also the producing mechanism of herd behaviors,which are mainly to meet the insufficient research on the trading scale and herd behavior on the previous theoretical documents.In this paper,by means of the passing of the ideas,it calculates two kinds of balance,which are the single balance in one trading scale and the mixed balance with the co-existence of large amount and small amount trading scales.By means of the innovation defining herd behaviors and aggravating herd behaviors,with the combination of different information structures of large amount and small amount trading scales,in this paper,it can testify the influence of large amount trading is larger to the ideas of traders in the mixed balance,which includes more information structures of large amount trading,which can intrigue the aggravating herd behaviors,and form the overlay of trading scales.Unlike previous theoretical models and intuitions,this paper proves that small amount trading under information asymmetry may change beliefs in the opposite direction of subsequent trading,rather than the thinking mode of "selling is bad news,buying is good news".This conclusion has the significance of theoretical innovation.In the level of empirical case,the purpose of this paper is to testify the conclusion of the theoretical model,in using the Tick high frequency trading data in the 490 trading days from December in 2013 to December in 2015 of 50 stocks in Shanghai Stock Exchange,it constructs the volume of business,general belief in trading,and net total size of transaction sequence,and analyzes the 375 coefficient of association and the significance.In the conclusion,it shows that the there are prominent positive correlation property in the volume of business and belief in trading,and the volume of business and later net total size of transaction,and among them,the correlation property of the volume of business and the later 20-60 terms trading scales has been up to the maximizing value.This conclusion testifies the theory that the trading scale has influence on the belief of investors.In addition,the long term influence of the behaviors of traders is weakening gradually.In the analysis of the influence of large amount and small amount trading scales to the later trading scales,the absolute value and significance of correlation property in the large amount trading scale are higher than the respondent small amount trading,it can testify that the trading scale really has influence on the belief of traders,which keeps high accordance with the conclusion of theoretical model.Finally,it this paper,based on the theoretical model in the chapter three,it constructs new measure index of herd,it constructs herd behavior frequency and intensity index of herd behavior from the aspects of time dimension and cross-sectional dimension,so that they can used to measure the herd behaviors of sellers and purchasers of individual share in the range.This index has close connection with the theoretical mode,can reflect the features of the high frequency of traders in transaction by transaction data,and can contrast with the measure of traditional herd behaviors.Later,in this paper,it constructs the model of non-equilibrium panel and double fixed effects,by means of the related data of the 50 stocks in Shanghai Stock Exchange from the first quarter in 2010 to the fourth quarter in 2015,with the new frequency of herd behaviors and the intensity of herd behaviors as the core explanatory variable,it has empirical analysis on the fluctuation of stock price and the double risks of the stock.The conclusions can be concluded as the following two points: first of all,in the high frequency herd behaviors,in some range,the sellers and the purchasers have the difference of dominant party and minor party,the dominant party can have the role in the aggravating fluctuation of stock price and the risk of stock,while the minor party can have the hedging role;secondly,compared with the low frequency daily volatility data and the risk index,the high frequency herd behaviors have the influence on aggravating the fluctuation,but it is the difference value of the sellers and the purchasers in the high frequency herd behaviors that really works,the larger the difference value,the more prominent of the aggravating function of to the stock price.The conclusions can provide new thoughts for the understanding of the stable operation of the stock price,complete the information transmission mechanism,so that the influence of the fluctuation of stock price in the short term herd behaviors can have hedge with the reacted contrary herd behaviors,realize the share price correction and rebound in one day or short time,realize the stable operation of the stock price,and get rid of the bubble or the target of over anxious.