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An Research on Herd Behavior of Transportation-shares in Shanghai Stock Exchange (SSE)

Author: LiuFei
Tutor: YueYiDing
School: Central South University
Course: Finance
Keywords: Herd behavior CCK Inspection Act HS Inspection Act GARCH
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 25
Quote: 0
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Abstract


Herd behavior behavioral finance research areas in a very special and important research areas . Since the 1990s , will study financial academia gradually shift the focus to non-basic economic factors that impact on the stock price on the herd behavior on stock prices has been widespread concern and research . First, we define the concept of herd behavior , causes of herd behavior , empirical studies of the impact of herd behavior of financial markets and herd behavior and other related aspects of the relevant literature reviewed and evaluated ; then use of the CCK test method based on GARCH statistical methods for the herd behavior of stocks in Shanghai transportation empirical research , and a comparative study with the Shanghai stock market overall herd behavior . The research results show that the Shanghai Stock Exchange Transportation stocks rising stage there is no herd behavior , a significant decline in the stage presence of herd behavior and herd behavior of the Shanghai stock market transportation stocks is higher than the Shanghai stock market overall herd behavior . In addition , the HS test analysis the transportation stocks exists as a leader in the market index herd behavior , the results show that the entire sample period transportation stocks obviously does not exist as a leader in the market index herd behavior the market index is extreme income circumstances obviously herding market index and some sample interval . Combined with the conclusions of the empirical research , this article further analyze the causes of transportation in Shanghai Stock Market stocks herd behavior , and from to reduce government direct intervention in the stock market , and improve the information disclosure mechanism , cultivate a mature individual investors and standardize institutional investors , promote the securities market innovation targeted inhibition of countermeasures .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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