The Influence Of Herd Behavior On The Yield And Volatility

The efficient market hypothesis and capital asset pricing model as the foundation of modern financial theory,think the market is rational enough,which related to the value of information can be quickly response to the prices,and with nothing to do with the value of information do not influence price.In reality,investors are not sufficiently rational,not only embody in no or incomplete make accurate and timely reaction to the information related to value,and will have nothing to do with the value of information into the asset price considerations,even a large number of investors cannot distinguish whether information related to the value.Herd behavior,as an important branch of behavioral finance research,based on the theory of sociology and psychology,analyze Investors how common psychological and behavioral characteristics of investors lead to the efficacy of the market,namely market price cannot be accurate and timely response value.In the literature research,this paper concludes that the herd behavior is the reason why market does not reach weak type of market efficiency and the capital asset pricing model does not have feasibility.Found in the empirical research,the gem of the whole type herd behavior degree is declining,but the real type herd behavior degree is rising,it also shows that pseudo type herding behavior,conforms to the capital asset pricing model and the efficient market hypothesis consistent behavior of investors,is in the continuous degradation,and the market efficiency is reduced.Further,through the use of Woodridge model and the autoregressive conditional heteroscedastic model,found that the gem market did not achieve weak type of market efficiency,of which real type herd behavior is the cause;Using the method of black-Jason-Scholes empirical applicability,found that the classic security line with negative slope does not follow the capital asset pricing model,combined with cross-sectional absolute deviation model,found that real type herd behavior is the reason why capital asset pricing model does not have applicability.In addition,through use of vector autoregressive model and Garman-Klass market volatility model,found that whole type herd behavior can reduce the volatility of market,and higher volatility market cause whole type herd behavior degree to be rising;True type herd behavior exacerbate volatility of market,the rise in market volatility will intensify real type herd behavior degree.Therefore,pseudo type herding behavior could enhance market efficiency.Finally,this article from the investors' investment behavior characteristics,market information asymmetry to account for the causes of herd behavior and herd behavior how to lead to the market deviation.On this basis,from perspective of the market system construction,the regulation of listed companies and investor education and structure,put forward the corresponding suggestion in order to enhance market efficiency.