An Empirical Study on Herding Effects in Chinese Stock Market

DOI

10.2991/icmess-18.2018.254How to use a DOI?

Keywords

Herding effect; Chinese stock market; Empirical research; CCK model

Abstract

Herding Effects fluctuate the capital market and affect the stability of the market. This paper aims to evaluate whether the herding effect exists in Chinese stock market or not. First of all, we introduces the definition, classification, and reasons of the herding effect and the possible impact on the stock market. Based on the CCK model, we separately constructs the CSDA of stock returns and equal rights market returns and weighted market returns. From Jan 2011 to Jun 2017, 30 representative stocks of the CSI 300 Index constituent stocks were selected as samples to test the Herding Effects of the stock market in China. Our results show that there are obvious herding behaviors in Chinese stock market from Jan 2011 to Jun 2017 as a whole, and the weighted market rate return model can better reflect the herd behavior of the market. Finally, suggestions are given for strengthening information disclosure, reducing excessive intervention, and maintaining investment order.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Xiang Gao
PY  - 2018/06
DA  - 2018/06
TI  - An Empirical Study on Herding Effects in Chinese Stock Market
BT  - Proceedings of the 2018 2nd International Conference on Management, Education and Social Science (ICMESS 2018)
PB  - Atlantis Press
SP  - 1147
EP  - 1151
SN  - 2352-5398
UR  - https://doi.org/10.2991/icmess-18.2018.254
DO  - 10.2991/icmess-18.2018.254
ID  - Gao2018/06
ER  -