With the development of modern securities market,the stock prices reflect changes in the financial market even the overall economic system more quickly and accurately.Simultaneously,with the existence of anomalies which caused by incomplete financial supervision and information asymmetry in the stock market,the classical asset pricing model are unable to capture volatilities in stock price accurately.As an effort to work out the emergence of anomalies in the stock market,behavioral finance starts to pay attention to the emotional,subjective feeling of personality and psychological factors in decision-making process and conduct.Among a series of anomalies in the stock market,the herd behavior,as a common phenomenon,can influence the development of overall market.Herd behavior in the securities market is a kind of special irrational behavior which is influenced by other investors or depending on the public opinion excessively without considering one’s own information.Investors do not make decisions in a rational manner,thus violating the efficient markets hypothesis.Therefore,behavioral finance study herds behavior in a new perspective in recent 20 years.To explore the herd behavior in Chinese stock market,this thesis employs a new time-varying coefficient model.First,we make a detailed review of past literatures concerning the herd behavior.The concept,classification and characteristics of the herd behavior are introduced and then we probe into the causes and effects of herd behaviors in Chinese stock market.Second,some commonly used theoretical models for studying the herd behaviors in the literature are introduced and a new time-varying coefficient model is put forward.Third,in the empirical analysis section,we use this model to analyze the herd behavior in Chinese stock market based on the CSI 300 index.The result shows that herd behavior exists in the unstable period but there is no evidence showing the existence of it during the steady period.Besides,our analysis shows that the return dispersion of American stock market has had a great influence on the herd behavior of Chinese stock market before 2015.However,Chinese stock market is mainly affected by domestic economic factors after 2015.These results suggest the asymmetry of the herd behavior in Chinese stock market,which is more remarkable when the market is at the downswing stage.Moreover,the new proposed time-varying coefficient model gives a better fitting of the data than the fixed coefficient model.To all deviate the herd behavior in China,we also make some policy suggestions based on the empirical results and the analysis of its causes.The last part is the conclusion of this thesis. |