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The Empirical Analysis On The Herd Effect Of GEM In China

Posted on:2015-03-11Degree:MasterType:Thesis
Country:ChinaCandidate:Y DengFull Text:PDF
GTID:2309330434452613Subject:Applied Statistics
Abstract/Summary:PDF Full Text Request
The Growth Enterprises Market is as called Second Board Market, which is the supplement of main board and provides financing channels for high-tech SMEs. The success of NASDAQ proves the value of GEM. In order to promote the adjustment of industrial structure and perfecting the structure of capital market, Chinese government establish the GEM in2009.After four years of development, there are379stocks listed on the GEM. Despite the significant positive significance, many problems still exist. The first problem is that whether the high risk and high volatility could be correctly recognized.Herd behavior is a decision that most people take the same action while ignoring the private information. Herding effect, which based on sociology, psychology and finance, is an important branch of behavioral finance. The analysis of behavior of investors is different from the traditional financial theory. In the stock market, herding effect exists in the decision-making of institutional investors and individual investors. Especially compared with foreign mature capital market, Chinese investors are more irrational, so herding effect is more obvious in china. The herding effect has a large impact on the role of market resource and the stability of the market. At the same time, historical experience shows that herd behavior is also closely associated with the occurrence of financial crisis and affects the normal order of the financial market. Therefore, the research of the herding effect through the use of behavioral finance theory becomes significant.The studies of the herding effect in this paper begins with the theoretical analysis, we summarize the causes, the classification and the present research situation of herd behavior. Then we focus on the development situation of the GEM, and analyze the risk from three different angles of view. In the empirical part, we expound the reasons to choose CSAD analysis method, and then select data of the GEM from January18,2012to October9,2013for empirical analysis. Based on CSAD, we use the variations of volumes. The empirical results show that herding effect exists in China’s GEM. Finally, according to empirical results we analyze the cause of herding effect in the GEM and give suggestions for investors and regulators that can reduce the negative influence of herding effect.We summarize the research and development status of herding in the second chapter, and analyze the causes, classification of herd behavior. The third chapter introduces the theoretical basis of herding effect, and summarizes four methods of model tests on herding effect. The fourth chapter describes the development status of the GEM, also the risk of the GEM from three angles are analyzed. In the fifth chapter we use the CSAD method to regression analysis, then change of the original model according to the domestic and foreign scholar’s research conclusion. After we get the test results, we analyze the reason of the formation of herding effect in the GEM. We carries on the summary to the full text in the sixth chapter, and puts forward corresponding suggestions from the two angles of regulators and investors.
Keywords/Search Tags:GEM, Herding effect, CSAD, Volumes
PDF Full Text Request
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