The Empirical Research Of Herding Behavior In The Chinese A Share Markets

Herd behavior is one of market anomalies of financial market, which means investment strategy of investors completely rely on public voice and other strategic investors. And this phenomenon is hardly explained by conventional finance theory that is based on rational-economic man. In recent year, most of research were explained through the perspective of behavioral finance .Since the herd behavior existence would exacerbate the volatility of the market and cause asset price is far from real value.In the most serious case, it possibly unleash a financial crisis.So, it has cause the academia and government to take the extensive attention.The paper focuses on effect of herd behavior of stock market in our country, the paper uses CCK model to conduct empirical tests on herd behavior in the A share market of China, hrough the study and analysis of the rising stage, decline stage and shock stage found that there is, obviously, herd behavior at rising stage. Whereas, not clearly,herd behavior at fall stage.All this mentioned above illustrate the trend of helping to push up equity prices is more popular than the trend of shadie. Furthermore,the results from the Grange causality tests indicate that there is a two way relationship between herd behavior and the stock market volatility. And significance reflects herd behavior can more lead to share price volatility and then herd behavior is exacerbated because of share price volatility. After that analysised the herd behaviour from the view of the Game Theory to analyse the reason why share price volatility.And through these reason combine with background of herd behavior existence in China stock market,the last part of paper gives some advices that about controlling herd behavior.