| Investors’ herding behavior is often used to explain the excessive volatility of financial markets and the change of the short-term price movements. It makes stock prices deviate from its fundamental values and also has great effects on the trading strategy and the capital asset pricing model. The existence of herding behavior is harmful to the capital market’s healthy development. To maintain the safety of financial market and boost the continuing development of financial market have always been the important task of the financial market government regulators, and also it is a hot topic in the research academia. Also retail investors have a dominant trend in Chinese A stock market. And when they invest their money, they have a much more obvious non-rational trend. Simultaneously, due to the government’s intervention in Chinese stock market, there exists inefficiency and informational non-transparency in Chinese capital market. As the theory of Efficient Market Hypothesis has been influenced a lot by the anomalies in the actual market, the analysis of the investor behavior has become more and more important.This article used the CCK model to test the existence of herding behavior in the Chinese spot market, the impact of launching of the 300 index futures on the herding behavior and it also does the empirical test among 5 different industries across different periodicities to verify the existence of herding and impacts of industries periodicity. Then, compare the annual empirical test to verify the changing trend of herding in Chinese market. At last, the article provides investment and policy advices based on the empirical results. The empirical test tells us that before the launching of stock index futures there exist herding behavior in spot market. After the launching of CSI 300 index futures, the effect becomes much more significant. Also the result shows when the market goes down, the herding behavior in the stock market becomes much more significant. Also the levels among different industries in the stock market are different. The industries with a specific periodicity have a much more obvious significant level than other industries. From 2010 to 2014, the result tells us the herding level has become down trending. |
