An Empirical Study On The Asymmetry Of Herding Effect In China’s Stock Market

Investors are the main players involved in the market.The market participants is the main driving force of the market operation.Therefore,it is very important to analyze the operation law of financial products from the perspective of behavioral finance from the characteristics of market participants’ transaction.When financial theory is exploring rational and effective market hypotheses,scholars continue to find that it’s too ideal in the real economy.And the state are basically impossible to achieve.Some of the subjectivity of the people who are participants in the economic activity or the psychological behavior of the masses are very prominent.And these behaviors are difficult to be described by traditional financial theory.Then the behavioral finance based on the subjective behavior of the investors appeared."Herding effect" is just a very important effect in behavioral finance."Herding effect" is a manifestation of mass psychology.Because of the asymmetry of information,individual participants will have a self-confidence.Based on this psychological activity,individual participants will choose to "follow the mainstream" to find a homeopathic decision.The decision is relatively easy to grasp.And it’s the best choice.If everyone has a "drift" mentality in the case that mainstream characteristics are obvious and persistent,it will show a whole behavioral decision-making consistency and the synchronization of time.It is to say that individual participants are affected by the mainstream trend to follow the behavior,making the mainstream trend more obvious and more sustained,which in turn prompted more participants to choose to follow the trend of decision-making.In this paper,the CSAD method is used to construct the index of herding effect in Chinese stock market.The stock data of Chinese stock market from 2005 to 2017 are discussed according to the constituent stocks of Shanghai and Shenzhen 300,SSE 50,Shanghai Composite Index and CSI 500 Index.The temporal grouping is based on the first cycle of the stock market in 2005-2015 and the second time cycle of the stock market in 2015-2017.And the spatial grouping is based the stage and quotation of the rise and fall of share prices.After the test of the group of time and space dimension,we find that there are many asymmetric phenomenon in the Chinese stock market transactions from the "herding effect".Whether it is in any range of index constituent stocks and time,the stock market stocks do not have significant flock effect,which shows that China’s stock market would only stimulate investors to "chase sell" enthusiasm in the drastic condition,while the shock market transactions are relatively conservative.Compared to first cycle of the stock market,the second cycle of the stock market is about a weak flock effect with the same group,indicating that the investor structure and investment of Chinese stock market have undergone significant changes.Low-market stocks have a greater flock effect relative to high-value stocks,suggesting that low-value stocks are more likely to be controlled by banks.The greater the amplitude,the potential effect of making money is stronger.And it’s easier to mobilize people to "chase sell" enthusiasm.The rising stage of the flock effect is stronger than the sheep stage of the fall effect,indicating that the domestic stock market for the majority of retail investors is a monopoly of the market.People only can make money by buying.In order to reduce the impact of the herding effect on the stock market and to maintain the stable development of the stock market,we need to strengthen the proportion of institutional investors and optimize the investor structure.At the same time,we need to improve the relevant laws and supervision mechanism and increase the proportion of high-quality listed companies,to reduce the market’s malicious speculation and achieve the rational return to the value of the stock price.