The Analysis On Herding Behavior In Chinese Commodity Futures Market

The herding behavior is a common phenomenon exists in financial market. Recent years there are many scholars study the herding behavior in stock and fund market, but seldom in market of commodity futures. Especially the emerging market of commodity futures in China which only analysis it based on theory in stock market or part of commodity.Since China commodity futures market come into the market recently and its relatively immature development and incomplete market information, there are a lot of herding behavior in the futures market. This herding behavior deserves more concern from related sectors, and should be avoiding from spreading so that to promote the steady and healthy development of the commodity futures market in China.This article first described the theoretical and empirical study about the herding behavior in stock and futures market both in home and abroad to show the reality and necessity of studying the herding behavior in the futures market in China.Then adopting CSAD (Cross-Sectional Absolute Deviation) method basing on CAPM (Capital Asset Pricing Model) and combines ARMA (Auto Regressive and Moving Average) model and GARCH (Generalized Auto Regressive Conditional Heteroskedasticity) model to study all the trading data from April2009to April2013in China futures market, and concludes that there is significant herding behavior in futures market:When the market is booming, the herding behavior is mild while the market is depressing, it is quite obvious.And latter this article analysis the factors why herding behavior appear and the relative counterpanes from two sides:the development status of commodity futures market in China and the problems exist at present.In the end, it concludes the shortage and imperfection, and pictures the follow-up research direction.