An Empirical Research Of CSI 300 Constituents On Herding

Formed in the 1960 s the premises to build the CAPM model include rational investor and capital market fully effective.The premise of the efficient market hypothesis in 1970 also includes that investors are rational and information is symmetrical and effective.The above model and theory in securities and the theoretical circle has been widely recognized and get a lot of applications.However,with the development of behavioral finance theory,they are faced with more and more challenges.Behavioral finance theory is that the above assumptions in reality condition is not satisfied,the investment of people affected by their behavior and psychological factors and so on,appear in the herd behavior in the stock market confirms this point.At the same time,in the financial markets,herding effect will this group investment behavior on the financial markets more factors have a significant impact,including stock pricing,medium and small investors and regulators validity and effectiveness of resource allocation,so the study of herd behavior has great practical significance.In order to analyze and research the domestic herd behavior,this paper uses the ARCH,HAC and quintile regression methods for China's CSI 300 stocks on December 1,2014 to December 31,2015 herd behavior research.Firstly,using CCK model to test the existence of herding on Chinese stock market as a whole,the conclusion is yes;And then the whole is divided into a bull market and bear market respectively through empirical research,it is concluded that under what kind of market easier exists herding effect.Again,respectively,using the ARCH with AR model,HAC regression model and quintile regression model based on CCK model;The herd behavior degree is studied by HS model.Through the above research,we concluded that: first,the flock of herding effect whether the whole stage or different stages were analyzed,and there are more significant effect of the flock;And herd behavior in a bull market showed a trend of gradually increased,and reached the strongest in the end of the bull market herding effect.And bear market herding effect of increase abruptly,subsequent flock effect is not obvious trend,and herding effect at the beginning of the bear market to achieve most;The duration of the herd behavior in a bull market is relatively long in a bear market,the degree of herding effect is better than a bear market is on the high side.Finally,this paper analyze the reason of the existence of herd behavior in China's stock market from the Macro,Intermediate and Micro level,including the stock market information asymmetry,excessive government intervention in the stock market,the listed company information disclosure is not standard,the principal-agent relationship,institutional investors financial psychological reasons for individual investors investment capacity and behavior.And put forward the corresponding policy suggestions,including strengthening the transparency of the stock market information,reducing the stock market policy intervention,perfecting the principal-agent incentive mechanism,and strengthening the education of investors.