Empirical Analysis Of Herding Effect In Chinese Stock Market

A stock is a certificate of ownership issued by a joint-stock company.It can be used as a security to obtain dividends and bonuses.However,with the research of domestic and foreign scholars,it is found that under the interference of information asymmetry,imperfect regulatory mechanism,irrational investors and other factors,the stock market is always prone to chaos and uncontrollable.At this time,investors gradually follow the trend and imitate the investment behavior of most investors,which is called herd effect.Therefore,we used statistical software such as Rstudio and Eviews 10.0 to process data and build models,and analyzed them from three perspectives: the herding effect and volatility characteristics of the daily stock yield of the CSI 300 index and the impact between them.The stock yield data of CSI 300 index constituents were segmented into the uptrend(January 5,2009 to June 8,2015,bull market)and downward trend(June 8,2015 to December 31,2019,bear market)of stock price volatility,after which the segmented data were studied,and the results of the empirical study showed that Between the period of June 2015 to 2019,there was a herd effect in the securities market.By fitting the four regression equations(quadratic regression equation,exponential function equation,logarithmic function equation and power function equation)included in the ordinary herd behavioral model,it is finally found that not only the exponential function equation of herd behavioral model is the model with the highest sensitivity to test the herd effect but also found that the sensitivity of the herd behavioral model based on the 10%,25%,50%,and 75% quartiles is not as high as the ordinary herd effect.Secondly,we found that whether it is a bear market or a bull market,the CSI 300 index has long-term memory characteristics,and the past fluctuations have a positive and slowing influence on future fluctuations;there is a causal relationship between the herding index series and stock price fluctuations,in which for a bull market,the herd effect in the stock market is both the cause and the result of the stock price fluctuations;for a bear market,the herd effect is the result of stock price volatility,but not the cause of stock price volatility.Moreover,the herd behavioral model was fitted again under the modification of the generalized autoregressive conditional heteroskedasticity model,and we found that there is a certain significant herd effect in the CSI 300 index before the modification,and after the modification,the CSI 300 index shows a greater degree of the herd effect,which indicates that the modified model can make the herd effect test result more clear.At the same time,it can be concluded that there is a tendency for the CSI 300 index to "kill".