Herd Behavior in the Chinese Growth Enterprise Market
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This paper analyzes herd behavior in the growth enterprise market(GEM) of China. Herd behavior means that sheep or other animals move together at the same time when they are in a herd. This paper provides the brief reviews of theory of herd behavior and empirically tests the existence of herd behavior in the GEM by two regression models(non-linear model and transaction volume model) using the cross-section absolute deviation(CSAD) measure. The main results of this paper are as follows. First, there is strong herd behavior in the Chinese GEM in all the three periods ; flat market, bull market and bear market. Second, the herd behavior in the GEM is more obvious in the bull market and relatively weak in the bear market. Third, we infer the strong herd behavior in the GEM is caused by imperfection of information disclosure system, excessive government intervention on the GEM, and speculative factors in GEM. Based on above findings, we suggest that the GEM investors need to invest based on the more fundamental approach than market sentiment, and Chinese financial authority should minimize market intervention and supplement the operational systems of the GEM, such as information disclosure and short selling, in order to increase the efficiency of the GEM.
Abstract
This paper analyzes herd behavior in the growth enterprise market(GEM) of China. Herd behavior means that sheep or other animals move together at the same time when they are in a herd. This paper provides the brief reviews of theory of herd behavior and empirically tests the existence of herd behavior in the GEM by two regression models(non-linear model and transaction volume model) using the cross-section absolute deviation(CSAD) measure. The main results of this paper are as follows. First, there is strong herd behavior in the Chinese GEM in all the three periods ; flat market, bull market and bear market. Second, the herd behavior in the GEM is more obvious in the bull market and relatively weak in the bear market. Third, we infer the strong herd behavior in the GEM is caused by imperfection of information disclosure system, excessive government intervention on the GEM, and speculative factors in GEM. Based on above findings, we suggest that the GEM investors need to invest based on the more fundamental approach than market sentiment, and Chinese financial authority should minimize market intervention and supplement the operational systems of the GEM, such as information disclosure and short selling, in order to increase the efficiency of the GEM.
참고문헌 (31)
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