| In recent years,the development of China's financial market has been booming,which has played a huge role in optimizing the allocation of resources and promoting economic and social development.However,in the process of maturing financial system,problems such as imperfect supervision and information asymmetry still exist,and the financial industry has the problem of "getting rid of the real to the virtual",which leads to some financial anomalies.As one of the typical financial anomalies,herd effect aggravates market volatility,which makes asset prices far away from the real value.In serious cases,it may even lead to financial crisis,affecting the stability and development of the real economy.In the past two years,the rising house prices have made the book asset value of real estate enterprises virtual high,and more and more funds and resources have poured into the real estate industry.In the current economic downturn environment,once the housing market is cold,the real estate industry as a pillar industry will trigger a vicious circle affecting the entire real economy.But if the price of real estate rises too fast,the real estate market will fall into a housing bubble trap,which will bring a series of risks.At present,one of the key points of our country's economic work is to prevent and control financial risks.At the end of 2016,the Central Economic Work Conference proposed that we should adhere to the orientation of "houses are for living,not for speculation",and call for the return of housing properties.In April 2017,General Secretary Xi Jinping stressed that finance should return to its source and serve the real economy.At the Nineteenth National Congress of the Party in October 2017,General Secretary Xi stressed once again that we should stick to the position that houses are for living,not for speculation.Financial risk prevention in the government work report of 2018 is an important task in three key battles.It can be seen that the state attaches great importance to this.In order to prevent and control the irrational risks in the real estate market and the stock market,this paper investigates and studies the herding effect of the real estate sector.This paper firstly sorts out and introduces the relevant theories and research backgrounds of herd effects at home and abroad.Then,taking the A-share real estate sector as an example,with the help of CSAD model,Markov transformation model and GARCH model,this paper makes an empirical analysis of the existence,symmetry,scale,policy and industrial chain differences,non-systemic risk and systemic risk of herding effect on the daily trading data of A-share real estate sector from October 2014 to August 2018.The results show that the A-share real estate sector in China has obvious herding effects and has the following characteristics: asymmetry,the expansion period is more significant than the recession period;scale difference,the large-sized stock is more significant than small and medium-sized stocks;the asymmetry of real estate policies,herding effect is contagious among industrial chain,the herding effects in the upstream and downstream industries imitate that of real estate sector;Both non-systematic risks and systemic risks have had an impact on the herding effect of the A-share real estate sector,and systemic risk has a greater impact. |
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