Research Of Herding Behavior In Securities Market Based On Informed Trading

In this paper, we use the behavioral finance, information economics, and other financial econometrics theories and empirical analysis, which are based on the stock data in the Shanghai Stock Exchange, to deeply analyze the herding behavior of the stock market. This paper focuses on the existence and the characteristics of herding behavior of stock market. Based on this work so far, we use the value of PIN(probability of information based trading)to discuss the herding behaviors with informed trading.This study includes seven subsections, each part under the following brief content:The first chapter is an introduction, which briefly describes the research background, the significance, and the structure of this paper. It clears direction of this study and the main content.The second chapter introduces the main concepts of the article to facilitate the following discussion and analysis.The third chapter reviews the theory and literature, discusses the theory of herding behavior, and domestic and international empirical research on herding behavior in a preliminary induction. The status of research on informed trading in domestic and foreign is also summarized.The fourth chapter of this paper provides the introduction of the research methods and data in use. The LSV model, Wermers model, PIN model are clearly introduced in this part.The fifth chapter combines the empirical testing and results analysis. First, based on the whole group, the level of stock prices, the industry groups, the market capitalization, the performance of the previous quarter, the stock group of herding behavior have been tested. In addition, by the innovative use of the value of in-depth knowledge of the transaction based on herding behavior, we obtain the empirical results:1) The total capital and a significant negative correlation with herding behavior; 2) the higher stocks price-earnings ratio, the more investors tend to herding behavior; 3) herding behavior and positively related to stock trading volume, the more of trading volume and more frequent, the more intense of herding behavior; 4) small volatility of stocks will attract more herding behavior; 5) PIN coefficient and herding behavior was a significant positive correlation, and information Falls exists in China's stock market.The sixth chapter analyzes systematically the reasons that why the herding behavior exists in the stock market, and provides the corresponding countermeasures and suggestions.The seventh chapter is the summary of the full paper, and points out the further research directions.