Research On Herding Effect Of Chinese A-share Market

The herding effect is a hot topic in modern finance. Generally speaking, the herding effect refers to the thought or behavior that investors are affected by others and follow the public. In financial market, the herd behavior involves the related behavior of multiple investment subjects. The result is the convergence of investment decision-making, which has the effect of push the market down or grow. In view of this, in the context of China’s "stock market crash" in 2015, this paper has a special and important practical significance to study the herding effect in China’s stock market at present.First of all, this paper give a summary and brief comment about existing research literature of herding behavior on the stock market systematic. Base on the summary,we use the CSAD model based on CAPM to test and compare the herd behavior during the period of "stock market crash" and the non-stock disaster period. After that, we try to extend the traditional CSAD model by introducing different weight coefficients according to its market value, price and turnover rate. At last, the extended CSAD method is used to examine the herding effect of the stock market during 2015.As a result, we have proved that Chinese stock market exist herding behavior in the Stock disasters in 2015.And when the market go down, a significant herding behavior exists, while the market rise , herding behavior exists but not significantly.Meanwhile, in 2014 and 2016, Chinese stock market doesn’t exist herding behavior.What’s more, by using the improved CSAD model estimates herd behavior in 2015,we found that when the market value weight or turnover rate weight is taken into account, the result is consistent with the conclusion of the traditional CSAD model. In view of the weight of the stock price, there is no obvious herding effect when the market go down in 2015, but there is a significant herding effect when the market rise.Analysis of the reasons for this phenomenon may arise from the investment group is likely to form a consistent rise expectations in the high-priced stocks, while to form a consistent decline expectations in the low-priced stocks.