Dissertation > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market

Herd behavior in the stock market

Author ZhaoYaZuo
Tutor ChengZuDe
School Shanghai Maritime University
Course International trade
Keywords Stock market Herd behavior Investment boom Abstain from tide Cross-sectional standard deviation of return
CLC F830.91
Type Master's thesis
Year 2003
Downloads 350
Quotes 0
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Traditional financial theory is based on the market participants is based on the assumption of rational people, and on this basis to build the \traditional mainstream finance. However, the past two decades, a large number of empirical studies have shown, there are a large number of phenomena contrary to the efficient market hypothesis in financial markets. Judging from the investment behavior of investors, which is an important manifestation of herd behavior. There are two categories: one is rational herd behavior (Rational Herding), herd behavior in the securities market research rational herd behavior studies suggest that the due to the difficulties of access to information, the incentives of the actors and the payment of external the existence, making the optimal strategy of the main herd behavior. Another type of irrational herd behavior Irrational Herding irrational herd behavior of mainly for actors psychological, that the actors blindly imitate each other, to the neglect of the importance of rational analysis. This article briefly describes today's main research results at home and abroad on the rational herd behavior: Payment the externality theory (payoff Externalitv), principal-agent theory (Principal-agent), the flow of information theory (Informational Cascades). Were selected for these theories typical model, as the entry point of the analysis of these rational herd behavior theory. These models are based on certain conditions, chose a different investment subject to study, a detailed analysis of the underlying causes of these investors herd behavior and investment behavior of the process, which reveals the impact of their behavior on the securities market . Also test stock market herd behavior empirical research methods were introduced. Specific analysis of the type of herd behavior is very complex, and empirical research just to avoid this problem. The empirical study of herd behavior model has two main directions: one specific type of actors as the research object; price dispersion degree as an indicator study the herd behavior of the entire market. Select the second method, select the most recent data of the Shanghai and Shenzhen in China, to establish the degree of dispersion models based on the share price, to test the overall situation of China's securities market. The results of the study found that China's Shanghai and Shenzhen stock market does exist herd behavior, by comparison, herd behavior in Shenzhen serious than the Shanghai Stock Exchange. Thinking about the underlying reasons behind this phenomenon, the authors found that there are many factors that led to China's securities market there are more serious herd behavior. , The authors of these underlying reasons one by one in-depth analysis, and then a more practical solution to address these issues. Finally, the authors combined with practical, more in-depth thinking of herd behavior in the stock market. Through in-depth understanding of the QFII policy analysis, and finally the conclusion, the QFII policy helps to reduce the herd behavior of China's securities market at this stage. With China's accession to WTO, China's securities market is to increase the intensity of the opening to the outside world. In this case, it is even more important to maintain the stability of the securities market. The herd behavior inherent characteristics of the decision on the securities market, and even the dangers of economic stability and growth. In-depth study of herd behavior in the securities market will undoubtedly effective market volatility is important.

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