Empirical Test Of Herd Behavior Of Chinese Open-ended Funds Based On CCK Model

Since the first open-ended fund was issued in2001, the scale of open-ended funds has developed very quickly. It has become an essential professional investors in the Chinese financial market. Therefore, the research of the open-ended funds on herd behavior has important theoretical and practical significance for financial market management.Herd behavior initially refers to the phenomenon of flocks action. The herd behavior of financial markets describes that the strategies the investors adopt may be influenced by others, omitting their own effective and valuable information. Herd behavior can be expressed that many investors behave in the same way or have the same preferences. Now the theoretical research on herd behavior is not very much in China, and the empirical research mainly focuses on testing the existence of herd behavior.This paper utilizes the literature research and empirical analysis. Firstly, it makes an overview of research on herd behavior and a systematic discussion of the relevant research results around the domestic and foreign scholars. There are mainly four empirical analyses in herd behavior:LSV, PCM, CH and CSAD. This paper compares both the advantages and the disadvantages of these four methods and uses CCK model. Secondly, it makes an empirical research. It finds that OSL regression residuals have ARCH effects by autocorrelation test and heteroscedasticity test. Thus, it uses CCK adjusted model and ARCH method to test the existence of the herd behavior of the open-ended funds based on the open-ended funds holding stocks since1January2010to31December2012. The research results show:the herd behavior of the open-ended funds exists statistically significantly, and this phenomenon is significant when market fall, but there is no significant herd behavior when market rise.This paper argues the internal and external reasons for the existence of the herd behavior of the open-ended funds are as follows:Firstly, fund managers protect their own reputation; Secondly, fund managers pursue their own interests; Thirdly, the stock market system is not perfect; Fourthly, the market lacks high-quality listed companies; Finally, the structure of capital market is imbalance.In order to further promote the development of open-ended funds, this paper according to the causes of herd behavior makes the following recommendations: Firstly, improve the incentive mechanism of fund managers and change the situation of fund managers; Secondly, improve the compensation structure of fund manager and change the way of assessment; Thirdly, improve the securities market system; Fourthly, increase the transparency of information; Fifthly, improve the quality of listed companies; Finally, rich the investment products and broaden the investment channels.