The Impact Of Herding Behavior Of Individual Investors On Stock Price Crash Risk

Individual investors account for 75.1%in China financial market.Their characteristics significantly affect the stable development of stock market.This paper studies the influence of herding behavior of individual investors on stock price crash risk.Based on panel data of the alcohol industry,the standard deviation of stock position changes of individual investors is used to measure the herding behavior.The negative amplitude of weekly return and volatility of stock price are used to measure the stock price crash risk.The results show that:(1)Strong herd effect exists in alcohol industry;(2)Individual herding is more obvious in the bear market stage,but there is no significant "month effect";(3)The herd effect of individual investors has a positive impact on the risk of stock price crash,,which is manifested as "true herding behavior"in the market;(4)The herding of individual investors has a significant impact on the volatility difference degree of stock price at the stage of rise and fall,but has no significant impact on the negative amplitude of weekly return,indicating that the herding behavior has a boundary effect on the stock price crash due to the existence of "disposal effect".The research of this paper has important theoretical and practical significance for preventing the risk of stock price crash.