Empirical Research On Herd Behavior On China Market

In the securities market, investors often perform the mimic behavior, which is the simple description of herding behavior. More accurately, herding behavior is a phenomenon, which exhibits as that market participants imitate other participants behavior and neglect themselves belief after they observe other participants behavior and are affected by them.Many scholars research the mechanism of herding behavior. They get some reasonable models, such as information cascade model based on the relationship between information and price, information acquisition model and reputation model based on executive compensation.From the viewpoint of equity return dispersion, my paper researches empirically that whether herding behavior lead by market index exists, explores the performance under the situation of extreme market return, and also delves the herding behavior among different industries and sizes.The main results my paper gets are that (1) during the up-market period, market presents herding lead by market index. Herding decreases in the period of down-market. The degree of herding in the up-market is higher than that in the down-market. (2) Herding exists under the extreme turn market and positive return causes herding easier. (3) The dispersion of fi coefficient of the industry of communication, trading and tour, integration and chemistry has significant correlation with the indicator of herding behavior, and during some period herding occurs. (4) The smaller the stock size is, the more the performance is affected by market. But the performance of the very small stock isn't coincident with market.The paper is composed of five chapters. Chapter 1 defines the herding behavior. Chapter 2 reviews the theoretical research about herding behavior. Chapter 3 gives the literature review of empirical study. Chapter 4 does the empirical research of Shanghai stock market. Chapter 5 makes the conclusion.