Study On Herd Behavior Of China's Stock Markets

China's securities market has experienced nearly 30 years of development,but compared with the developed countries in Europe and America,the market is still in its infancy,the market mechanism is imperfect.From the history of the China stock market performance,we can seen,in the domestic market "chase sell" phenomenon is obvious.The volatility of the stock market,on the one hand,is influenced by the macro market,on the other hand,the irrational sentiment of the market has sometimes become the decisive force leading the market,leading to the prevalence of speculative behavior,often deviate from the true value of the stock,and ultimately make the stock market continues to go farther and farther away from the true value.Firstly,this thesis uses the CSAD method to establish regression,to analysis the herd effect in the Shanghai Composite Index,Shenzhen Component Index and Gem Index.The empirical results show that there are herd effect in the Chinese Shanghai,Shenzhen and gem markets,and the degree of herd effect in Shanghai and Shenzhen is obviously greater than that of the gem.Second,in order to better analyze the volatility of the herd effect in the high frequency market,this thesis uses every five minutes settlement price data of the Shanghai Composite Index,Shenzhen Component Index,and Gem Index,and combining the Realized GARCH model with the CSAD model,further analysis of the residual of the CSAD model.Finally,according to the empirical results,this paper gives the policy suggestions on the herd effect from two perspectives of market investors and policy makers.