Chinese Stock Market Investor Herd Behavior Empirical Research

The Classical Finance is on the basic of the precise math discursion and the logical discursion. Besides, it has a stronger hypothesis that the participators in the market are all reasonable. But the market is not absolutely rational. The person as the individual may not be often reasonable, when he faces the complicated exterior environment. The social tidal current would affect his action. This view is agreed in the early economics, such as the beauty vote. The Behavioral Finance based on the social psychology comes into being. Nowadays, the fact that it has been the powerful complementarity's the Classical Finance is unassailable, however, the herding as the important problem in the Behavioral Finance is always the hot topic in the learning realm. How to test the herding in the market, if the herding exists in the market, how to explain the reason, in the end how to use the herding to win the market and obtain the profit. These problems are of important academic significance. Recently the stork market ShangHai Stork index has reached about 6000 points, the investors'investments in the market have get rid of the herding mode in the period of 2003 to 2005.Whether or not the present herding can prick up the fluctuation. These problems still have the investigation value.This thesis investigates the herding in Chinese stork market. The first part dissertates the concept, the sort, and the effect of the herding in the market, and then sums up the literatures and the theory methods on the herding. The second part demonstration uses three methods to test the herding and analyses the herding in Chinese stork market by the proper data from June the first, 2005 to June the first 2007, and then uses the investment aggregation intensity model to analyze the fund managers' herding based on the board effect. The conclusion is that the elucidative ability of Shanghai Stork average PE is strong to Herding effect, but the whole equation's R~2 is small. The third part explains the Herding from the rational point basing on the theory of the Behavioral Finance. The fourth part expatiates the revelations that the Herding gives to the different main bodies. The last one obtains the conclusions and suggestions, and gives the expectations in the future. They are respectively the Herding test basing on the dispersion, the Herding test basing on CAPM, the Herding test basing on ARCH. The results are that the dispersion test shows that the Herding doesn't exist apparently because the coefficients of the independent variables are all positive, and when the market profit rate is very low every stork's profit is apt to be more dispersive than the one when the market profit rate is very high. The results of the analysis basing on CAPM and ARCH are both that the coefficient of the square of the market profit rate is negative apparently, and this shows the Herding exists in Chinese Stork Market, though the both methods are nearly accordant, the first one emphasizes particularly on the different situation of the market pressure and the last one emphasizes particularly on the whole market.The main innovation of this thesis is that it selects new data, makes the demonstration analysis by the existing typical test methods, and compares the results. And it analyses the Herding from the irrational angle basing on the fixing quantity analysis.