The Empirical Research On The Herding Behavior Of The Agricultural Futures Market In China

The behavioral finance from the view of “irrational people” has broken the traditional ideas and methods used to analyzing the questions. “Herd behavior” is a hot research topic in this area, many domestic and foreign scholars and experts are keen on the stock market and fund market of this phenomenon, and there are a large number of empirical studies on this model. In recent years, the futures market began to catch the sight of people, mature research of the securities market also encourages scholars to the futures market of “herd behavior”.But Chinese futures market is not as same as stock market and fund market, the information is not complete, which is likely to breed “herd behavior”, adversely affects the sustainable and stable development of the futures market. Chinese agricultural products futures market plays an important part of the commodity futures market, and the futures market of agricultural products in the aspect of agricultural structure adjustment, price discovery has played a huge role. So the research about “herding behavior” of the agricultural product futures market and how to prevent it becomes particularly important.This paper starts from the research on herd behavior in stock market, fund market, leads to the current research on the herd behavior in the futures market, and explains the necessity and practical significance of research on Chinese agricultural product futures market.Then this paper analyzes the process of the theoretical and empirical herding behavior model, finding out the empirical research methods of present stage of the agricultural product futures market. The data is from the January of 2010 to the December of 2014, and chose four active futures contracts of soybean, corn, wheat and cotton in the day’s closing price and volume, using the cross sectional absolute deviation(CSAD) empirical analysis based on the capital asset pricing model(CAPM) to analyze the herd behavior. The empirical results are: the existence of herding behavior of Chinese agricultural products futures market is true, and when the market goes up, the herd effect is mild; when the market goes down, herding effect is more severe.Before putting forward the controlling measure of herd behavior in the agricultural product futures market according to the analysis of empirical results, it’s necessary to find the causes of herd behavior from the overall situation in the agricultural product futures market, the disclosure of the information and the view from the individual investor in order to give the effective measures.Finally, this paper summarizes up the inadequacies and gives the direction of future research.