Based On The Cck Model Of The Herd Behaviour And Irrational Factors Of China's Stock Market Research

With the development of modern securities markets, the price of stock reflects the entire financial system and the overall macroeconomic operation system more and more significantly. As the financial system matures, problems such as inadequate regulation and asymmetric information cause stock market anomalies. The classic asset pricing model (CAPM) cannot accurately predict the volatility of stock price. Therefore, behavioral finance takes investors’psychology factors into account to further study in the mechanism of stock anomalies. Herding is very common in such stock anomalies, which has a great impact on the development of stock market.At present, there is a lot of research in herding theory. And herding studies on various markets are also productive. But most of these studies are focused on institutional investors in developed countries. The actual existence of herding in developing countries’medium and small investors or the level of the herding has not been a clear conclusion. On the other hand, studies have never involved how irrational factors influence herding. As an emerging market, China security market has a lot of such irrational factors. Based on a representative range of stock of China as a whole, this article analyzes the presence and the degree of herding, and further considers the extent of irrational factors on herding.This article uses CCK model to do an empirical test on SSE180Index constituent stocks, and makes some improvements on the model. The equal-weighted calculation method of market return and level of deviation (CSAD) is moderated by adding different weight of market capitalization. Moreover, the article makes empirical tests based on longer time horizons, and compares different level of herding in different time horizons. Based on the results, this article proposed a short-term indicator which can show long-term herding level tendency, which is named stock deviation acceleration. This acceleration indicator is thus used to test the relationship with noise trading in the market. The result shows that such relationship exists in different markets. This article analyzes this result and finally put forward some advice on investment strategy in herding market.