H Shares And A Shares A Comparative Study Of Herding Behavior

Classical finance theory of "rational people assume that" the basic premise and the efficient market hypothesis for the basic theory, however, since the 20th century, since the 80's, the world's financial practices have emerged a large number of standard financial theory inconsistent with the "abnormal" phenomenon. For example, the sha- re premium of the mystery, the mystery of dividends, stock prices on the basis of the value of long-term deviations from the losers win effect, Friedman - Savage confusion, the scale effect, the book market than the effect of calendar effects, the price of basic response information. Market in order to explain these "phenomena" of behavioral finance has been booming. Behavioral finance, one of the important research direction is the herding behavior.Financial market herd behavior is a special kind of non-rational behavior, it is the investors in the information environment of uncertainty, the conduct of the impact of other investors, to imitate others in decision-making, or over-dependent on public opinion (that is, the market an overwhelming majority in the sense of the term), without taking into account the conduct of their own information. Herding Behavior as a result of the main body involved in a number of investment-related sexual beha- vior, the stability of the market, have a great impact on efficiency, but also with the financial crisis are closely related, so Herding academic and government led to a wide range of regulatory authorities concern.Sheep in the financial market is the latest act of theory and empirical research summarized on the basis of this paper, China's stock market and the reality of the Hong Kong stock market, the use of statistical methods CSAD-GARCH, 50 Index in Shanghai and Hong Kong the Hang Seng Index in January 2006 to in January 2009 of the sheep during the comparative analysis of behavior. Empirical results show that: the Shanghai stock market, there is an obvious act of a flock of sheep, but the compa- reison, Herding in the Hong Kong stock market was not obvious. In addition, in China's A shares, the market fell less than at the time of herding the sheep when the market acts up. Two markets on a comparative analysis, different functions that the allocation of resources, constitute a different investors, differences in investment philosophy, as well as the system deficiencies and distortions in the investment structure is irrational, the market information asymmetry, investment funds, the functional differences between stock analysts and media experts adding fuel to the flames, the market system, lack of supervision of factors such as significant is the major source of herding.The stock market regulatory authorities in China should improve and standardi- ze information disclosure of listed companies in quality, and promote market efficien- cy. The expansion of fund development, and increase the proportion of institutional investors to invest in further convergence with the Hong Kong stock market to reduce the appearance of behavior to follow the trend. In addition, aspects of theory and empirical research on herd behavior can be many directions to expand and deepen.