The Herding Effect Of Chinese Stock Market

The stock market is an important part of a country's capital market system.In the past decade or so,China's stock market has made remarkable achievements.We have improved the reform of non-tradable shares,set up the growth enterprise market and the small and mediumsized enterprise market,introduced stock index options and established a short-selling mechanism.But at the same time,the rapid development of China's stock market also gave birth to more and more abnormal phenomena of the stock market: two sharp rises and sharp falls,"ten years zero rise" and so on.As a breakthrough to traditional finance,behavioral finance puts forward a challenge to the traditional rational hypothesis,and believes that more attention should be paid to the subjective factors of the transaction subject--people in the process of the development and research of finance.In this context,in this paper,in combination with the domestic and foreign scholars research,on the basis of using the Eric c.Chang,Joseph w.Cheng and Ajay Khorana return(2000)the CSAD method of variant,by adding more control variables for 2005 to 2017 of the Shanghai a-share stock market herding effect,the empirical analysis,at the same time from or symmetry,circulation market capitalization and extreme market,three points,one step one step further,analyzes our country nearly 13 years of existence and characteristics of herd behavior.Empirical test shows that in China,there is a relatively serious herd behavior,while the market chasing up the rising market is obviously higher than the falling market,and the herd behavior in the rising market is greater,which is more obvious when the absolute value of the market return is small.Although the descending market herding effect is relatively small,the increasing speed of herding effect will increase significantly with the decline of market yield,and the "snowball effect" is larger,and the gap between the two markets' herding effect will gradually shorten.Portfolio based on current market value indicates that the herding effect of a-shares in Shanghai stock market in China is not unilaterally driven by large-cap stocks or small-cap stocks.No matter what kind of market value portfolio exists significant herding effect,but in terms of degree,the herding effect of small-cap stocks in the rising market is usually more serious.In the declining stage of the market,although the large-cap stocks tend to have the herd effect first,the herd effect is less and less obvious than that of the small-cap stocks with the decreasing range of market returns,and the "snowball effect" is smaller than that of the small-cap stocks.In the extreme market environment,it is found that the herd effect is more obvious in the market environment with bubble bursting than in the non-extreme market,and it also has a larger "snowball effect".