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H Shares and A Shares A Comparative Study of Herding Behavior

Author: PengAiWu
Tutor: ZhuXiQing
School: Changsha University of Science and Technology
Course: Statistics
Keywords: Herd behavior CSAD method GARCH test Behavioral Finance
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 162
Quote: 3
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Abstract


Classic financial theory of \Equity Premium Puzzle, dividend puzzle, the value of the stock price on the basis of long-term deviation, winning loser effect, Friedman - Savage confusion, economies of scale, the carrying amount of market capitalization than the effect calendar effects, the price of basic reaction of the information. In order to explain these \One of the important research direction of behavioral finance is herd behavior. Herd behavior in financial markets is a special kind of irrational behavior, it is the investors in the case of the information environment of uncertainty, the behavior of other investors, imitate others decisions, or over-reliance on public opinion (ie, market In the overwhelming majority of the concept), regardless of the behavior of their own information. Herd behavior related to sexual behavior involving multiple investment entities, for the stability of the market, the efficiency has a great influence also have a close relationship with the financial crisis, herd behavior caused extensive academia and government regulatory authorities attention. Summary of the latest theoretical and empirical research on the herd behavior of financial markets based on this paper, the reality of China's stock market and the Hong Kong stock market, the use of CASD-GARCH statistical methods, on the Shanghai Stock Exchange 50 Index and the Hang Seng Index in Hong Kong in 2006 herd behavior in the months to January 2009 were analyzed. The empirical results show that: the Shanghai stock market herd behavior exists, there is far, the Hong Kong stock market herding is not obvious. And herd behavior in China's A-share market fell less than the market rises, the herd behavior. A comparative analysis of the two markets, and that the resource allocation function of different investors constitute differences in investment philosophy and system for missing and distorted and irrational investment structure, market information asymmetry and functional differences of the investment funds, stock analysts, experts and the media publicity fueled the market and lax supervision of institutional factors are the main causes of the significant herd behavior. The stock market regulatory authorities should improve and standardize the quality of information disclosure of listed companies in China, and promote market efficiency. Expand fund development, increase the proportion of institutional investors, and further with the Hong Kong stock market convergence, reduce the incidence of act to follow suit. In addition, in the theoretical and empirical research on herd behavior in many directions to be expanding and deepening.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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