The Research On Herding Behavior In Chinese Financial Futures Market

In 1980s, the behavioral finance is based on the non-rational people hypothesis, introducing the cognitive bias into the financial market, which fully considers the effect of psychological factors of investors who makes an investment decision. The appearance of behavior finance subverts the traditional finance theory, which attempts to explain the financial anomalies in the traditional theory about finance which traditional finance cannot explain. Therefore, the "herd behavior", as one of the important research contents of behavioral finance, has entered scholars’ view. In the 19th century, "herd behavior" has begun to attract people’s attention. In the foreign countries, it forms mature researches both theoretical research and empirical research, and many scholars used the empirical research methods to test whether herd behavior exists in financial market, and they found that in foreign countries herd behavior has appeared in the stock market and fund market. On the other hand, they found that the herd behavior in emerging countries is more obvious than that in developed countries; the domestic study on herd behavior gradually started in the end of nineties century, researches show that herding behavior exists obviously in China’s securities market. More, researches of futures market is less, and only for part kinds of the futures.Financial futures market has been developed in the stage of rapid development in china, with the Stock Index futures and Treasury bond futures listing, and options market will be coming soon. The paper uses empirical way to discovery whether the herd behavior does exist or not in financial futures market, which can provide the basis in promoting the environment of financial futures market.Therefore, based on above these factors, the paper starts from the herd effect definition, and summarizes the research results at here and abroad from two aspects of theoretical research and empirical research. The fifth chapter of this paper selects data in the period from September 6, 2013 to February 5,2015 in China Financial Futures Exchange, including the stock index futures and Treasury bond futures closing price, daily position data, We use CH model, CCK model to test whether herd behavior exists in China’s financial futures market, the result examines that China’s does not exist herding behavior, and future study whether there exists herd behavior in China’s financial single market, whose results show that herd behavior was not found in the sample period of our country’s stock index futures. In the end, this paper analyzed the reasons of China’s financial futures market from the angle of economics and psychology and it respectively to explain why financial futures market does not have herd behavior and puts forward the future research direction.The innovation point of this paper lies in:(1)The herd behavior of domestic scholars for the stock and fund market has been mature, nevertheless for the futures market is less, especially in the study of China’s financial futures market is less. Whether herd behavior appears in the Chinese financial futures market is studied in detail.(2)Scholars used domestic data in inspection of herd behavior, which apply the existing model of foreign scholars, and it based on the basis of the existing model. The paper makes a new idea of how to oveicome the problem in general model.(3)The paper found that China’s financial futures market does not have herd behavior through empirical research, and analyzed the internal cause why financial futures market has not herd behavior, and provides reference to prevent herd behavior of China’s financial futures market.The shortcomings of this paper lie in:(1)Because the Treasury bonds futures listed on the official time is September 6,2013, the data interval selection of span is relatively short and sample is inadequate, which may influence the empirical results.(2)In the choice of model, the empirical model of foreign scholars is on the basis of a mature market, but our country still belongs to the newly developing markets. We use the model from foreign countries and use the data from our country to test the herd behavior, so the accuracy of empirical process is under debate.