Empirical Analysis On Herd Behavior In Chinese Growth Enterprises Market

Herding behavior refers to the consistent behavior due to the interactions between individuals in the group,and causes strong volatility in the stock market,eventually lead to system risk,.Under the same conditions,there are apparent differonce between small company stocks and large company stocks in hearding behavior. The stocks in the Growth Enterprises Market (GEM) easily become a speculative tool due to their small capital, so there is serious speculation in GEM.The significant herding behavior in the second board market as the realistic phenomenon,combined with the research results of herding behavior and small firm effect in behavioral finance theories,this article test empirically herding behavior of GEM in China on the cross-sectional absolute deviation methor (CSAD) and GARCH model.Testing the relationship between herding behavior degrees and shares fluctuations with the correlation coefficient analysis and Granger Causality test as hasis,focuses on the analysis of insider trading and monetany liquidity in the GEM market. To the phenomenon of insider trading seriously and too high issue price in the gem market,This article establish the corresponding Game modle to explain.Through theoretical analysis and empirical research,we finally conclude that:There are significant herd behavior in Chinese GEM and are very differert from other markets,especially in the down stage of the marketEmpirical research shows that,herding behavior is the important factor to share price fluctuations,speculative factors lead to the abnormaol fluctuations,fundamental factors had no significant effection.Herding behavior in the GEM is closely related to high issue price and insider trading,whicheventually leading to stock prices extremely sensitive to monetary liquidiry.In tightening monetary policy background, the high P/E and stock prices lead funds rushing to withdraw from the GEM. From the perspective of Game analysis,we can see that,institutional investors consider more of their profitability and space,while ignoring the growing size,the concept of speculation extends to the second board market from the motherboard market.Herd behavior in Chinese CEM reflect the immaturity of investors and the prevalence of market manipulation.Therefore,enhacing investor education and blowing manipulation behavior to prevent the effect of herd behavior in GEM.Regulators should make appropriate guide on the stock market,and prevent excessive departive between price and value.Besides,stocks in the GEM market should be standardized to issue and crack down on insider trading behavior.