Empirical Study Of Chinese Small And Medium Plate Market Herding

It has been ten years since the small and medium-sized plate stock market launched in 2004. The quantity of the listed company rises a lot during these years,so as the money they have financed and their market value.However, many differences between the stock price of the Small and medium-sized plate stock market and main market occur. We mainly study the Small and medium-sized plate stock market from perspective of behavioral finance. Herd behavior affects the stability and development of the entire market as a very common phenomenon.First, we discuss the background and the meaning of our research, which tells the significance and the practicability of this study. Besides, we introduce the framework and innovation points of this paper. In the second part, we review the related papers based on different aspects, such as the formation mechanism of herd behavior, influencing factor, impact on the security market, the differences between the herd behavior of different investors and markets and industries and so on.In the third part, we mainly illustrate the development and the overview of the small and medium-sized plate stock market in China. Then we introduce the main situation of the herd behavior from the definition of it and why it exists as well as the impact on the security market.In the fourth chapter, we introduce the four methods to study the herd behavior, which are LSV return analysis method, analysis of CH, CKK analysis method and analysis method based on GCAPM.In the fifth chapter,we use the CKK analysis method to study the whole small and medium-sized plate stock market of China. It turns out that the herd behavior exists in the small and medium-sized plate stock market. In the sixth chapter, we choose six industry parts from the medium-sized board market and analyze the data of them in the basis of GCAPM method. According to the conclusions, there are two selected industry parts which show herding effect significantly. And the herding effect in extractive Industry and transport industry is the largest, the herding effect in the real estate industry and the financial industry is larger than the farming and construction industries, which show little herding effect.Last but not least, we give some advice in the different angle of investors and government.