Empirical Study On Herding Effect Of GEM Market Based On Quantile Regression

The herd effect is one of the important reasons for the market chaos.It refers to the phenomenon that investors are influenced by other investors' investment behaviors and adopt the same investment strategy.This phenomenon is difficult to explain with the traditional financial theory based on "rational investors".In recent years,scholars at home and abroad have also studied the herding effect from the perspective of behavioral finance.The existence of the herd effect has a certain impact on the stability,efficiency and standard operation of the financial market.In a market with an obvious herding effect,the price of financial assets will deviate significantly from the actual value,even in severe cases.Therefore,the herd effect has received widespread attention from academia and financial regulators.As an important part of China's capital market system,the GEM market is an important supplement to the main board market,providing development space for growing SMEs and high-tech enterprises.The stocks in the market are mainly growth companies.However,the development of China's GEM market The time is short and the market maturity is not high.Therefore,the research on the herd effect test of the GEM market has certain reference value for investors to make decisions,and it also has a certain positive effect on the healthy and stable development of the GEM market.In this paper,the research background of the herding effect is comprehensively expounded,and the research results of scholars at home and abroad in recent years are analyzed and compared in order to improve the advanced nature of the empirical method.The herd group effect was measured by establishing the absolute deviation index of the cross section,and the herding effect test model was constructed by using the quantile regression method and the parameters were estimated.Quantile regression has the advantage of more comprehensive analysis of sample data and is robust compared to the mean regression used most previously.In the empirical model,the lag term of the explanatory variable is added as the explanatory variable to eliminate the autocorrelation of the high-frequency financial time series data,and the improved model improves the goodness of fit of the model parameter estimation.In addition,this paper analyzes the herding effect of different market conditions in the GEM,and discusses the causes of the herd effect in the GEM market from the perspective of market asymmetry factors,listed company characteristics and market maturity.The results show that the herd effect exists in the rising,oscillating and falling stages of the GEM,and the herding effect in the rising and oscillating stages is significantly stronger than the falling stage.In terms of market asymmetry factors,the market yield is positive and the rate of return is negative when the GEM market has a herding effect,and the herd effect when the rate of return is negative is significantly stronger than the herd effect of the rate of return.When there is a herd effect when the trading volume of the GEM is low,there is no herding effect when the trading volume is high;there is no herding effect when the volatility of the GEM is low,and there is a herding effect when the volatility is high.This paper compares and analyzes the A-share market and the small and medium-sized board market,and finds that the market is more mature.,the weaker the herd effect;on the contrary,the stronger the herd effect.For the company level,the study found that there is no direct relationship between the size of the company and the stock price and the herd effect of the GEM market.In the low-yield and low-handover companies,there is a herd effect.On the contrary,high returns and high turnover There is no herd effect in the company.Based on the above empirical results,the reasons for the herding effect of the GEM market are analyzed,and relevant policy recommendations are proposed,including:improving the information disclosure system,strengthening market management,strengthening education for individual investors,and establishing a sound market trading system.And reduce government intervention.