Empiricial Research On The Herd Behavior In Chinese Stock Market

Herd behavior in the stock market means that investors ignore their own private information, even abandon the predictions that they have made, and chose to imitate or follow other’s behavior. If the herd behavior is real, it will reduce the efficiency of investments and make the stock market instability, especially for our stock market that without a sound mechanism. So provides a view of empirical research on herd behavior in China’s stock market to examine the existence of herd behavior and find out the real type of it is more important. It’s important for the development of our stock marketThe paper provides an overview of the recent theoretical and empirical research on herd behavior in financial markets. On the basis of this, the paper use the real data of China’s stock market to test the above empirical models, that making the results of our research more comprehensive and objective. Moreover the paper also through an indirect method which examine the relationship between herding behavior of institutional investors and the stock pricing to distinct the real herding from spurious herding. The results of empirical research show that:from the perspective of institutional investors in funds or institutional investors represented by QFII there were significant herd behavior, but the herd behavior of fund be proven to improve the stock of pricing efficiency, so can be call the spurious herding,and this result affirmed the role of institutional investors in the stock market to some extent; from the perspective of the entire stock market level, CSSD model of China’s stock market is not detected the existence of a significant herd behavior, but CSAD model results compared to the overly conservative CSSD model shows the existence of China’s stock market is a clear herd behavior, and herd behavior in the decline stage of market is more significant. At last, the paper made some policy recommendations, hoping to reduce the herd behavior of China’s stock market, and promote healthy and sustainable development of stock market.