Empirical Research On Herd Behavior In A

“Herd behavior” instock market is a kind of imitative behavior in which investors suppress their own private information and base their investment decisions solely on the authoritative actions in the market.Rational herd behavior could stabilize the capital market to some degree.When investors get the new information,they could quickly turn their money to more valuable stocks to improve the efficiencies of market resource allocation and avoid market risks.But irrational behaviors would weaken the basic role of market to the price and cause wide stock fluctuation.Irrational behaviors even lead to financial crisis and make serious negative effects to countries and the whole world.The thesis makes theoretical analyses and empirical tests to deepen the understanding of herd behavior in the stock market,and makes some feasible suggestions to further standardize the market behavior and improve the mechanism of the stock market in China.The first chapter introduces the background and significance of the research in the beginning,and then combs the relevant literatures from both theoretical and empirical models by Chinese and foreign scholars in recent years.Finally,it summarizes the innovation and shortcomings in the thesis.The second chapter elaborates the theoretical bases of herd behavior,including the definition,causes,types and influences of herd behavior.The third chapter mainly introduces the empirical research methods of three kinds of herding behavior,including LSV model,CH model and CCK model,and then reviews their advantages and disadvantages separately.The fourth chapter is the empirical analysis of this thesis.This thesis takes the sample stocks of SSE 50 Index as the research object and uses GARCH model method to set up regression equations between CSAD and market returns to judge the degree of herd behavior in A-share market in China based on CCK model.The empirical analysis finds that there exist certain herd behaviors in A-share market in China in the sample interval.And the degree of up-stage is stronger than the down-stage in the stock market.The fifth chapter gives economic explanations of the above empirical results,points out the existing problems in the stock market and finally proposes some suggestions.