Dissertation > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods

Empirical Research on Herd Behavior of Security Investment Fund

Author XiaoYuJun
Tutor HeXueHui
School Hunan University
Course Finance
Keywords Security investment fund the herding behavior LSV model
CLC F224
Type Master's thesis
Year 2007
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The classic finance theory is challenged after going through brilliantly.With the deep study of the capital market,it is found that Efficient Market Hypothesis,the basis of financial theories,is difficult to explain the above-mentioned phenomena reasonably.For example,Herd Behavior is a baffling phenomenon that called "Market Anomaly" Herd Behavior is a kind of collective behavior of investment funds in capital markets.It refers to the mutual imitation of collective investment funds by adopting the identical or similar strategies in stock exchange.A great deal of different investment funds are exchanged for the same type of stock at one time.The herding behavior in the fund can be divided into the herding behavior of information,the herding behavior based on reputation and remuneration mechanism under agency’s condition.The existence of herding behavior in the capital market reduced the efficiency of the whole market, especially the serious herding behavior which will cause the overreaction of the stock price.In our country the herding behavior of the fund is the prime criminal in the sharp fluctuation.From the point of Game Theory this thesis has analyzed the formation mechanism based on that herding behavior about reputation and remuneration mechanism of the fund.In chapterⅢ,though EXCEL and EVIEWS software,the 300 samples in Shanghai and Shenzhen stock exchange,based on the ten major circulation share holder from first quarter of 2004 to 2007,proved that there exists severe herding behavior from the empirical perspective.The article has carried on in-depth analysis from the trade,scale,share price and P/E,proceeds ect.compared with the herding behavior of common fund in U.S.A.it is found that the herding behavior in China may be five times than that of U.S.A.The cause of formation was analyzied in the end of this thesis,and countermeasures were put forward to weaken herding behavior existing in the fund.

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