Herd Behavior Of ETF Investors And Its Influencing Factors

Exchange Traded Fund(ETF)has a bright spot that other types of funds do not have,that is,its fund shares can be traded in both primary and secondary trading markets.Since the establishment of ETF,it has been loved by the majority of investors in that its unique trading mechanism and its good market performance,especially for the small and medium-sized investors.With the development of ETF,its asset management scale is expanding rapidly.However,investors in the market are often disturbed by irrational factors when making investment decisions,resulting in investor behavior deviation.Science and technology are keep on changing every day,and the tendency of economy global integration cannot be halted.The countries of the world are closely related to each other,which makes it easier for investors in various markets to influence each other’s investment decisions,which in turn leads to herd behavior.When the degree of herding behavior of investors in the market breaks through a certain limit,it will have a very negative impact on the stable operation of the financial market,especially for China’s imperfect capital market,this impact may be more profound.Academia has conducted a lot of research on the herd behavior of investors in various securities in domestic and foreign financial markets,but many previous research perspective will be focused on the stock market investors in the existence of herd behavior and asymmetry research,few scholars will perspective focuses on the ETF market investors’ herd behavior,and research on Chinese ETF market investors’ herd behavior has not yet been involved.This paper takes China’s stock ETF market as the research object for the first time,studies the herd behavior of investors in China’s ETF market,and further explores the influencing factors of their herd behavior,which has important theoretical value and practical significance.This article uses the daily trading data of China’s exchange-traded fund(ETF)from February 23,2005 to September 30,2019 as a research sample,and analyzes it based on the cross-sectional absolute deviation(CSAD)model.The empirical regression results found that the herding behavior of investors in the stock ETF market of China is significant,and its herding behavior has increased with the rise of market uncertainty,showing weak asymmetry characteristics;Further testing the herd behavior characteristics of ETF investors in the period of extreme market volatility,the study found that herd behavior significantly exists in the period of extreme volatility.Finally,from three aspects of noise,discount premium and fund characteristics,this paper studies the factors influencing ETF investors’ herd behavior in China.The research finds that with the deterioration of market sentiment,the increase of ETF discount,the decrease of ETF liquidity and the decrease of ETF capital scale,the degree of herd behavior of ETF investors in China is enhanced.It is expected that the results of this article will provide some references for regulators and investors in the market.