| China’s Growth Enterprise Market of the first28listed companies on the Shenzhen Stock is traded at October30,2009, China’s securities market GEM era is upon us. GEM was launched in China, not only carries the high expectations of whether to open financing channels to the plight of the high-growth SMEs, and also bear the responsibility of whether to write a new chapter for the national innovation strategy. GEM market participants for individual investors, and guide rational investment has been the focus of regulatory authorities, while the irrational behavior of investors is also a behavioral finance, the key research areas. What is the difference between the behavior of investors in the Main Board stock and the behavior of individual investors in the GEM market? And what are the characteristics? Why do they have to behave like this? How do the securities departments to do for good investor education and appropriate management?To answer these questions, this paper select the stocks of Shanghai and Shenzhen300index and its constituent yield data, the GEM pure price index and its constituent yield data, and a securities company GEM market investment holding detailed data such as market data, and have an empirical comparative analysis on the Main Board and GEM market investor herd behavior and the inertia of the GEM investors reverse trading strategy.For Main Board and GEM investor herd behavior research, this paper adopts a conservative but the data readily available stocks yield the dispersion measure method, by calculating the dispersion of the Main Board and GEM stocks yield to compare their differences. We draw the Main Board, according to this measure the dispersion of the GEM index values were0.0246and0.0291, the dispersion of GEM stocks yield higher than the motherboard market; the same time, In this paper, gains in the market rate is very high and very low yields market on dispersion index by regression analysis,The Main Board for investors in the market fell when there is an obvious herding behavior, but only if the market rises herding behavior characteristic is not obvious, and advocate board the herd behavior of investors in complete contrast, GEM investor in market prices showed obvious herding behavior, but the decline in the market herding behavior characteristic is not obvious.In the reverse of the GEM market investors inertia of the trading strategy. This paper adopts the most scholars by the use of the GTW (1995) method, and the traditional GTW methods were partially improved. Through the study found, GEM market in China tend to be momentum trading strategy, but the face of a cycle of poor performance of the stock, trading strategies emerged from the analysis, some investors tend to" buy low", while the other part of investors tend to "sell".Finally, the paper believes that the results of the analysis is made of the stock market of our country has long been the" policy market"、Investor philosophy, GEM listed company characteristics, the formation of GEM investors and starting to prove the effectiveness of investor education and other factors. For the above reasons, do the GEM market investor education, establish and improve the investors in securities of multi-level service system, improve the fund, the brokerage collection management and other institutional investors to its investment behavior guidance, strengthen the information disclosure system of listed companies, severe blow the hot money " speculation" and the concept of speculation. |
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