The Research On The Impact Of Institutional Herding On The Volatility Of The GEM

Since China's stock market was born,the phenomenon of Stock price crashing is serious,which not only seriously weakened the efficiency of China's stock market asset allocation,but also has brought a greater impact on the real economy.In order to improve this situation,the SFC put forward the strategy of "extraordinary development of institutional investors",with a view to improving the structure of stock market investors and improving the efficiency of asset allocation in China's securities market.Under the guidance of this strategy,institutional investors in China are developing rapidly and occupying an important position in the capital market.In contrast,institutional investors' investment behavior has an increasing impact on the securities market,and herding behavior is one of the most interesting phenomena.There is no uniform view on the impact of institutional herding behavior on stock price volatility.In view of this,it is of great theoretical and practical significance to study the existence of herding behavior of Chinese institutional investors and its influence on the fluctuation of GEM price.Through the combination of literature research,theoretical analysis and empirical analysis,this paper analyzes the impact of institutional herding behavior on the volatility of GEM.First of all,this paper summarizes the existing literature at home and abroad on the institutional investors flock behavior and stock market volatility.Second,from two channels of the noise trading and information,this paper analyzes the transmission mechanism about institutional herding behavior affecting the stock market.Third,based on the classical LSV model,classifying institutional herding behavior into overall herd behavior,buying herd behavior and selling herd behavior,this paper chooses 58 listed companies with obvious herding behavior to exam the impact of institutional herding behavior on the volatility of the GEM,and divides the GEM market into two stages to test the effect of herd behavior on the volatility of stock price at different stages.The main conclusions of this paper are as follows:First,there is a significant behavior of institutional investors in the GEM market,and buying herd behavior is better than selling herd behavior,but its main status is slowly disappearing;Second,The overall herding behavior,the buying herd behavior and the buying herd behavior are negatively correlated with the stock price fluctuation of listed companies,which indicated that institutional investors play the role of "market stabilizer" and can reduce the GEM stock price fluctuations;Third,compared to buying herd behavior,selling herd behavior contains more stock price information,can stable the GEM market.Finally,based on the theoretical analysis and empirical results,this paper puts forward the policy suggestions to promote the behavior of institutional investors of the GEM from three aspects:strengthening the information disclosure of the GEM,perfecting the institutional compensation mechanism of the institutional investors and paying attention to the rewards of the institutional investors' reputation.