An Empirical Study On Investors' Irrational Behavior In China Fund Market

Combined with financial theory, psychology and sociology, behavioral finance constructed new analysis frame and basic ideas based on humanity. Irrational behavior is the key research field and direction of behavioral finance, and study on it means a lot.Fund market is a special capital market. It had common nature of capital market, but had its characteristics at the same time. And China fund market began later than security market, and had developed for 11 years. Its system frame and organization system changed dynamically all the time. China fund market also faced some finance anomalies as herd behavior and loser-winner effect like other capital markets, and had apparent prominent characteristics. This paper made the empirical study on the investors'irrational behavior in China fund market.This paper started with definition of irrational behavior, summed up three present kinds of irrational behavior, as irrational behavior by deviation of harmonious psychology, irrational behavior by systemic deviation and behavior deviation of by information cognition, and explained the case of irrational behaviors in aspect of psychology.After reviewed history of development and present situation of China fund market, this paper summed up specifications of China fund market. And based on the characteristics of irrational behaviors, this paper put forward special irrational performance of China fund market from views of supervisor.In empirical part, this paper considered on behavioral finance, fractal market and wavelets analysis theory. For analysis on herd behavior, this paper selected day volume rates and used cluster analysis method to test the herb behavior when fund investors sell them. Based on the results of cluster analysis, analysis of variance had been used to test overconfidence behavior in China fund market by yield. This paper made empirical test for irrational behavior by deviation of by information cognition, and took three steps in the third part of empirical analysis. Firstly, using the wavelet analysis theory to put out the irrational behavior chaos time series from sample data of China fund market, and being divided into three levels, and taking the stationarity test. Then I used two different methods and models, as R/S analysis and ARFIMA model, to take long memory test for irrational behaviors chaos time series in different levels. Last, I used the impulse responses function to study the influence on fund market from irrational behaviors in different levels.From results of empirical study, investors'herd behavior is very present; there exist overconfidence behavior; different irrational behaviors had different manifestation; different irrational behaviors had influences on China fund market in different levels. And this paper put forward targeted policy recommendations for rational investment in China fund market at last.