Empirical Research On Herd Behavior And Positive Feed-back Trading 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.Positive Feed-back Trader is a special kind of Noise trader.They buy after price rises and sell after price goes down and therefore push up price and pull down it respectively.Herding Behavior is one of important reasons of Positive Feed-back Trading.The Positive Feed-back Model founds that rational arbitrager will pick-up and buy more than he should have bought,which will push up stock price and make it fluctuates severely. So,it has cause the academia and government to take the extensive attention to the research of the herd behavior.This article taken the Behavioral Finance theory as the instruction,utilized modem statistical theory and method and profiled from the domestic and foreign related research results,to A share market whether or not existence Herd Behavior and Positive Feed-back Trading carry out the empirical research,based on the empirical research to analysis the reason of Herd Behavior and Positive Feed-back Trading. Finally submit corresponding countermeasure suggestion.On the empirical research of 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 of Index 180 of Shanghai and Index 100 of Shenzhen for studying sample,author conduct empirical tests on the non-linear relations between Cross-Sectional Absolute Deviation of Returns and the market returns to judge whether the herd behavior in the stock market of China 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.Because of the Herd Behavior is the reason of Positive Feed-back Trading.This article based on the result of Herd Behavior empirical analysis.Making use of Sentana and Wadhwani(1992) testing and empirical research revels that there is positive feed-back effect in Chinese stock market and there is obvious Co-movement connections between Positive Feed-back Trading and the stock price index changes.