An Empirical Study On Herding Behavior Of Securities Investment Funds In Chinese Stock Market

Herding behavior is one of baffling phenomenon that is called"Market Anomaly"on financial market. The traditional financial theories which base on"Rational Investor"hypothesis can't give it a reasonable explanation. The naissance of behavioral finance points out anther approach for herding behavior study so that it has become one of important branches of modern behavioral finance. As a kind of universal phenomena, herding behavior has been exerting great impact on stock market, especially on the new Chinese stock market brought out in economical transform period. With expand of the scale of securities investment funds, its investment behavior play a more and more important role in Chinese stock market. Herding behavior is a great concern in funds investment behavior research.Basing on a systematical review of theoretical and empirical literatures about investment funds'herding on financial markets, the paper applies the LSV testing method to realistic circumstance of China and makes whole and classificatory empirical test on Chinese securities investment funds'herding. The empirical result shows: herd behavior of funds exists statistically in Chinese stock market. The degree of funds'herding show certain regularity in terms of the scale of circulating stock, the former yield of stock and different industry sort. The test classified by funds'investment style shows all sort of funds have nearly the same herding degree. Dividing the whole into open-ended funds and close-ended funds, the test shows herding exists statistically in both of them and the former has a statistically larger herding degree. The analysis based on international comparison shows that the degree of herding in Chinese stock market is higher than that of in American stock market. Taking the cause into consideration a conclusion can be drown that the situation that herd behavior of funds exists statistically in Chinese stock market is a long-term trend. Then, the paper researches for the specific...