An Empirical Study On Herd Behavior In China's Metal Futures Market

The financial market is constantly changing,the virtual level is also getting higher and higher,the derivative products also has the particularity,and the reality of the real economy,authenticity is very different.And as individuals,constitute the indispensable part of financial market,operation and characteristics of the heart always affects the changes of the financial market,people may make the influence of the financial market behavior according to their psychological change.Therefore the financial market unstable.Now the information whenever and wherever possible are changing,and spreading throughout the world whenever and wherever.The information age affects the development of the world economy,although the economic globalization and informationization plays an indelible role for the integration of resources and the decrease of the economic costs.But because of this,the free flow of capital in the open world economy makes the instability of financial markets more and more prominent.Herd behavior constitutes an indispensable part in China's metal futures market,investors in the market imitate each other in the process of investment for a variety of reasons,even irrational,blindly follow the trend of conformity,and the imitation behavior has a great impact on the metal futures market changes,influencing the stability of metal futures market.The so-called herd behavior refers to an imitation of the fast diffusion between people,this paper adopts the research methods of literature and empirical research on the herding behavior of metal futures market has a reality.In this paper,the background and significance of the research was carried out based on the metal futures market in China as the research object,by January 2009 to December 2016 on the metal futures market with copper,aluminum and zinc as the representative sample data,an empirical test of herd behavior.(1)The analysis of pros and cons of herd behavior empirical research methods in the past,and therefore according to the special needs of metal futures market,selected the CSAD model and the original data collection to compute,comprehensively analyzed the existence of concrete of metal futures market herding behavior.(2)According to the positive and negative analysis of the market average yield,the herding behavior of the metal futures market is tested and analyzed to find out whether the herding effect exists in the metal futures market.(3)On the 7 day inter-bank bond pledged repo rates were introduced,the metal futures market into 7 day inter-bank bond pledged repo rate continuous rise and fall of two markets,7 day inter-bank the bond pledged repo interest rate factor influence on the herd behavior of metal futures market.(4)Explored the effect of feedback on the relationship between the metal futures price and herd behavior under the Granger causality test method,under the influence of the repo rate of the inter-bank bond in the 7 day.This paper tells(1)Herding behavior exists in China's metal futures market.(2)in the market rate of return is greater than zero,the herd behavior exists in the futures market,when the market rate of return is less than zero,in contrast,herd behavior does not exist in metal futures market,so the metal futures market in the market rate of return is greater than zero and less than the herding behavior of symmetry there is no two stages of zero.(3)Using the inter-bank bond repo rate of 7 days,The seven year period of the metal futures market into a continuous increase in interest rates and cut down the two stages.The results show that the herd behavior exists in the 7 consecutive period of inter-bank bond repo rate,while,in the 7 day inter-bank bond pledged repo rate decline stage,there is no herd behavior.(4)Granger causality test is used to obtain the feedback relationship between metal futures price and herd behavior: We found that in the process of the whole study period,Grainger causality test can be used to obtain the metal futures price is the Granger cause of the metal futures market.And in the 7 day inter-bank bond repo rate decline in the policy stage,the relationship between the metal futures prices and the herd effect no causal relationship,both accept each other is not the original assumptions.Combined with the specific situation of China's Metal Futures,from the four aspects of improving the structure of the futures market participants,establishing a reasonable price fluctuation mechanism,strengthening the disclosure of information,increasing the variety of metal futures and so on,this paper gives the different feasible suggestions.Adopt the foreign investment institutions in an orderly and purposeful manner,cultivate institutional investors reasonably,supervise the information disclosure of the metal futures market,expand the scope of supervision,supervise the timeliness and comprehensiveness of the release time of the transaction information,strengthen the execution of the government,avoiding because information is not timely,comprehensive and cause investors investment losses,At the same time strengthen the supervision of the industry,reduce the loss of investors caused by unfair competition in the industry,the exchange should always take self regulatory.Therefore,to improve the herd behavior of metal futures market,create a good market environment and good investment opportunities for investors,so that investors can take good and rational investment strategy,in order to obtain the maximum benefit,and promote the safe and stable development of the futures market.