Empirical Test Of Herd Behavior Among China's Fund

With the development of the securities market, the price trend of stock reflects significantly the entire financial system and the overall macroeconomic. In the process of development of the financial market, problems such as inadequate regulation and asymmetric information cause stock market anomalies. The classic asset pricing model(CAPM) cannot accurately predict the volatility of stock price. In this case, behavioral finance emerged. It takes investors' psychology factors and Behavioral Sciences into account to further study in the mechanism of stock anomalies. Herding is very common in such stock anomalies, which has a great impact on the development of stock market.Institutional investors are the development result of professional and social investment. It plays a decisive role in the conversion of savings to investment, improving the governance of listed companies and promoting the innovation of securities market. With the rapid development of world economy, the deepening of financial markets and the innovation of financial products,the institutional investors obtains a substantial development such as public funds, pension and insurance companies. But the volatility of stock market did not become lower as the people expected. Based on this, the study of the existence of herd behavior of institutional investors, and to what extent, whether it play a stabilizing role of the stock market has important practical significance.In this paper, I pick out one member of institutional investors--securities investment funds for the study, selected from 2008 to 2015 quarterly data,using LSV model to analysis whether it exist herd behavior. on this basis, further analysis of the securities investment fund herd behavior on stock market volatility. The results show that China's securities investment fund herd behavior is relatively obvious, but there is a downward trend. With the increase in the size of the flow of the stock market, China's securities investment funds "herd behavior" in general has shown a downward trend;the industry with promising prospects, profitability and relatively good national policies shows more obviously "herd behavior"; the performance of best stocks, because of their higher risk, its herd behavior did not show was the largest, and herd behavior to some extent exacerbated the volatility of the stock market, hoping to study in this paper for China to invest effectively avoid herd behavior provide a reference.