The Test Of Herd Behavior In Chinese Open-ended Fund

Since the first open-ended fund was issued in 2001,the open-ended funds have developed very quickly ,and become the most important institutional investors in the Chinese stock market. Therefore, the research of the open-ended funds on herd behavior has important theoretical and practical significance for financial market management.This thesis firstly makes an overview of research on herd behavior and a systematic discussion of the relevant research results around the world. Secondly, this paper makes an empirical research. Based on the open-ended funds holding stocks since January, 2005 to December,2006, it uses CCK adjusted model and GARCH statistical method to test the existence of the herd behavior of the open-ended funds. The research result show: the herd behavior of the open-ended funds exists statistically significantly, and this phenomenon is more seriously when market fall, moreover the herb behavior of the open-ended fund doesn't make stock prices fluctuation in the whole stock market. The reasons are that: the similar information fund managers get, certain styles of stocks funds tend to hold, reputation risk fund managers take, the relationship offend existing in funds and fund managers and other special reasons in stock market in China lead to the existence of the open-ended fund herd behavior.