Empricial Research On Herd Behavior In Chinese A Share Securities Markets

"Herd behavior"in the securities market is a kind of special irrational behavior, and we define it is a kind of behavior in a situation that the environment of the information is uncertain, the behavior is influenced by other investors, imitating others and making policy, or depending on the public opinion excessively (namely the idea of the overwhelming majority in the market), without considering one's own information. Because the herd behavior involves relevant acts of different investors, it has very heavy influence on the stability and efficiency of the securities market. Otherwise, there are close relations with the financial crises too. So, it has cause the academia and government to take the extensive attention to the research of the herd behavior. Firstly, this paper summarizes the theory of herd behavior from three aspects (namely the base theory, the method of testing and empirical research). Secondly, this paper sets up an auto-regression model with different variance characteristic, which catches to the signal of herd behavior that can be comparatively sensitive, based on ARCH model method in econometrics. Basing on the sample stock of Index 100 of Shenzhen for studying sample, author conduct empirical tests on the non-linear relations between CSAD (Cross-Sectional Absolute Deviation of Returns) and the market returns to judge whether the herd behavior in the stock market of China is remarkable. Then author uses LSV method to test whether the herd behavior in the securities investment funds is remarkable. According to the empirical analysis, author finds that, both in the up-market and down-market, certain herd behavior exists on the stock market of our country and securities investment funds.