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Empirical Study On Herd Behavior In Chinese Stock Market

Posted on:2019-04-07Degree:MasterType:Thesis
Country:ChinaCandidate:X XiaFull Text:PDF
GTID:2359330545992986Subject:Finance
Abstract/Summary:PDF Full Text Request
Since established in 1990,the development of securities market in China for nearly 30 years,the government made many efforts on construction of securities market,but the effect is not significant,this is because our country market development time is short,there is a lot of problems.Too quickly,the development of the stock market in China occupy a great number of retail than columns,and occupy less money,proportion of institutional investors have very few,but funding is huge,and the institutional investor's investment behavior is not rational,the market of incomplete information disclosure,transparency is too low,lead to market information appear extremely unfair.Because of particularity of the market investors in China,so there are many irrational investment behavior,such as "herd effect","January effect","disposition effect","gambling" and "policy depend on the irrational behavior."In this paper,CSAD model is used to analyze herd behavior.Sheep behavior was analyzed using stocks listed before 1996.In the first stage,there was no significant herding behavior during the bull bear market,but there was no herding behavior during the adjustment period.When the stages were subdivided,it was found that there was significant herding behavior in the rising period and significant herding behavior in the falling period.Found when segmentation stage rising and falling,rising up early and late,and down early and late do not exist significant herding behavior,but the convergence effect,does not constitute the whole herd behavior.In the second phase,throughout the markets,three periods of callable bull/bear contracts of herd behavior is different,the first part of the second phase does not exist obvious herding behavior,the second part of the second phase exists strong herd behavior,the second phase of the convergence behavior of the third part there,but there is no obvious herding behavior,its convergence is better than the first part of the second stage.Through the research results of this paper,it can be seen that the development of China's stock market is dominated by rational components,which is dominated by irrational components,and then a process of weakening of irrational components.The development of the market under its regulating mechanism and government regulation gradually maturing,however,because of the great number of small and medium-sized investors and institutional investors to control,the process may be long.In the market is a positive phenomena,equity of large blue-chip mark the herd behavior is not obvious,the herd behavior quite mark is mainly equity is small,and easy to manipulate the shares of small and medium-sized plate and belongs.As a result,less to irrational behavior on the market,not only to improve the investors' investment knowledge,strengthen information disclosure of fairness,and supervision the investment behavior of institutional investors,also standardize the listed companies on the market mechanism,makes the blue-chip stocks listed,and reduce the entropy of the listed company,improve the market environment.
Keywords/Search Tags:Securities market, Herd behavior, Irrational, Behavioral finance
PDF Full Text Request
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