| As economists continuing to find the phenomenon that contradicts the classical theory,behavioral finance has been developing in the question of traditional finance."Herding behavior" is an important content in the research field of behavioral finance.Herd behavior,usually means that because of insufficient information or lack of understanding,many investors' information is assimilated in the process of information transmission,resulting in herd behavior."Herding behavior" is a kind of vision for the securities market,because it involves the related behavior of many subjects,affects the stability and efficiency of the market,so it is also an effective reference to judge whether the market is normative and the investors are mature.In recent years,financial capital investment in commodity futures in the context of global commodity finance has become a new feature of commodity market operation.The main role of the futures market is to enable the majority of production operators to avoid price risk through hedging,and adjust market supply and demand,slow price fluctuations,to form a relatively fair price.To promote the development of commodity futures in our country,we need a systematic and comprehensive study to analyze whether there is "herd behavior" in China's commodity futures and prevent it.Therefore,the study of this paper has certain theoretical value and practical significance,and the subsequent research can also produce some reference.In this paper,we use the method of CSAD to measure "herd behavior" as the basic model.The CSAD model can depict the non-linear relation between the yield dispersion and market yield,and allow the linkage,so the accuracy of CSAD method is higher,which is one of the most widely used models of "herd behavior".In the empirical part,the paper chooses the daily-frequency data of 18 kinds of commodity futures which have been listed before January 1,2011 and have not been suspended for a long time until December 31,2016.On the basis of the analysis of the "herd behavior",the correlation characteristics of the sequences were examined,and the comparison found that the ARMA(3,2)-GARCH(1,1)could fit the model well.Then the innovative introduction of the MS-GARCH model(markov region eonversion-garch model),the parameters of MS-Model depends on the state of the economy or the region system,can indirectly through its region system to derive the value of the variable.Based on different markets,different price states and different policies,this paper empirically studies the "herding behavior" of China's commodity market,and concludes that:(1)Through the analysis of the overall market and two sub markets after the conversion of the results found that when the absolute value of the overall market yield of commodity futures is higher than 7.1%,there will be a significant "herd behavior",but with the market fluctuations,"herd behavior" doesn't occur in the two markets.(2)The results of two different states based on market price rise and fall indicate that because the demand of agricultural products is more stable,the price change is more affected by demand and supply,so the agricultural products tend to be weaker in commodity futures,and they can keep the general direction of the whole futures market,the whole market and the "herd behavior" in the declining stage of the agricultural products market."Herd behavior",which is obvious in the run-up.On the contrary,the "herd behavior" in the industrial metal market is significantly stronger than the fall phase in the run-up.For industrial metal futures,the supply and demand structure will be affected by the whole economic fundamentals because of the basic commodity futures which belong to the type of raw material.In the period of severe overcapacity in our country,the price of industrial metals will have a strong downward trend because of oversupply of supply and weak economic demand.Therefore,in the market rise stage,when the industrial metal trend is good,it will cause good expectations for market investors,and then trigger "herding behavior."(3)To examine the effect of the implementation of the three important policies during the sample period on "herd behavior",the analysis found that after the promulgation of the State Council's decision on amending the Futures Trading regulations on December 1,2012,the whole commodity futures market and the two market were affected to a certain extent,and there was a significant "herd behavior".The amended regulations stipulate that foreign institutions that meet the prescribed conditions may engage in futures trading on a futures exchange for a particular breed.On the one hand,encourage the strong foreign investors to enter our commodity Futures exchange transactions,expand the size of the transaction,on the other hand,as Chinese futures market gradually with international standards,domestic investors have been actively encouraged by the policy,but also more likely to produce herd-chasing behavior.The innovation of this paper is:(1)At present,the empirical literature on herding behavior in China's futures market is very scarce.The existing literature either did not find the "herd behavior"of futures market,or studied only a variety,this article chooses a stable sample interval to carry on the detailed and comprehensive research to our country commodity futures market in this period all varieties which contain.(2)Based on the market as a whole and agricultural products,industrial metal two sub markets,based on different trends and based on different policies,three different research perspectives,innovative use of Ms-garch model to make comparative analysis for China's commodity futures market "herd behavior".In view of the influence of "herd behavior" on market stability,this paper puts forward some policy suggestions accordingly.To avoid "herd behavior" to maintain the stability of commodity futures market,first of all,to improve the funding requirements for investors and professional quality requirements,with higher professional quality of investors in investment decision-making will be more based on their own analysis of decision-making,will not easily imitate the investment behavior of other investors,encourage small and medium-sized investors to choose expert financial management.Secondly,to improve the information openness of futures market can reduce the possibility of insider news,increase investors' search for information,reduce the information asymmetry between investors,and the possibility of "herding behavior" will decrease.In addition,the state should further promote the opening of commodity futures market,the introduction of more foreign investors to participate in the Chinese futures market.Because the overseas investor has the rich investment experience and the mature investment idea,which will also help the market stability. |
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