Research On Open-ended Fund Herd Behavior In China

The scale of open-end fund’ is growing along with our country financial market gradually. It is directly related to the healthy development of our capital market. But many scholars believed that there are anomalous phenomena such as the herd behavior in the market which can directly lead to the unusual volatility of the asset price in the securities markets. It will even cause the financial crisis. This paper improves the models previous scholars designed and uses the improved model to measure the degree of herd behavior under the different classifications. Determine property of the herd behavior according to earning caused by the changes of the stock position. Find the influencing factors of herd behavior through the classification test results. Provide the valid policy suggestion to aviod the abnormal fluctuations of the stock market. Also guide the securities investment funds take diversified trading strategies to improve overall effectiveness and stability of the securities market.First of all, this article summarizes current state of herd behavior research from formation theory and the empirical aspects. And describe the game process between the different fund managers. This paper established the HB index to calculate the strength of the degree of aggregation of funds after the summary of advantages and disadvantages of existing measure herding effect model.Then, use the agrregation model to test herding behavior of open investment fund market in our country. The test of time interval from the first quarter of 2005 to the fourth quarter of 2015. Respectively from the market at different time, different sectors, different fund, the fund’s investment style through the measure of the four dimensions, such as calculating the index of the sheep.Empirical results find that all the sample period exist herding behavior, part of the sample period exist obvious herding behavior. But some parts of herd behavior can bring the balance benefit to the fund, so we can considered this kind herd behavior as rationall.Finally, set a test model based on the formation mechanism of herd behavior to verify the validity of the agrregation model. The paper finds the result during the sample period is significant, the herd behavior characteristics meet the formation mechanism, This paper considers the factors influencing investment fund has changed, and makes the selection of index no longer exists between the linear relationship.Then provide the related suggestions to the different parts in the market to reduce the irrational herding behavior.