International Comparative Study Of Herd Effect In Stock Market

The capital asset pricing model and the efficient market hypothesis are important cornerstones of modern financial theory,and its "rational" prerequisites have become classic assumptions in financial research.However,with the deepening of research,more and more financial visions appear in the market that cannot be explained only by existing theories.Scholars have found that the "rational" premise in modern financial theoretical models is difficult to meet in actual markets.Investors’ personality,emotions,and other factors will affect their actual decision-making behavior,and the market is not as perfect as the theoretical description.People began to question traditional financial theories and gradually developed into behavioral finance.The herd effect is one of the financial anomalies and an important subject in behavioral finance research.The herd effect in the stock market refers to the fact that individual investors take the same investment decisions as other market entities because they give up their information.The herd effect in the stock market will affect the transmission of market information,and even cause the market to overreact and affect the stability of the market.Therefore,the stock market as a country’s economic barometer has great research value on herd effect.The existing domestic literature mainly studies the herd effect in China’s stock market.This article attempts to make a comparative study of the herd effect in the international stock market on the basis of domestic research.There are 5 chapters in the full text: Chapter 1 is the introduction,which mainly explains the research background and significance,literature review,research ideas and framework,and the innovations and deficiencies of the research;Chapter 2 is the theoretical basis of the herd effect,including the herd effect definition,types,characteristics,causes and effects;Chapter 3 is the design of an empirical model of the herd effect,including theresearch method of the herd effect,the establishment of an empirical model,and the selection and processing of sample data;Chapter 4 is the international stock market Empirical test of herd effect.This article selects the constituent stock daily data of the stock index of 12 countries from January 2015 to December 2019.First,the CSAD model is used to conduct an empirical test of the herd effect in the international stock market.The herd effect of each country is compared.Then,the overall market is divided into rising and falling markets to study the asymmetry of the herding effect.Next,external market variables are introduced and the non-closed market CSAD model is used to analyze the Comparative study of herd effect.Finally,use sample subintervals to test the robustness of empirical models and conclusions.Chapter 5 is the conclusion and recommendations elaborated conclusion and make recommendations based on multiple angles.There are four main conclusions in this article: First,compared with developed markets,emerging markets are more likely to have significant herd effects;second,the herd effects in stock markets in some countries are asymmetric,The evidence of asymmetry is stronger than that of developed markets.Third,when studying the herd effect of each country,the impact of the US market on the national market cannot be ignored.Fourth,when studying the herd effect of the international stock market,the US stock market The impact on developed markets is greater than emerging markets.