empirical test for sequential herd behavior in china's stock market——how do investors make decisions

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1、对外经济贸易大学硕士学位论文EmpiricalTestforSequentialHerdBehaviorinChina'sStockMarket--howdoinvestorsmakedecisions?姓名：符睿芬申请学位级别：硕士专业：金融学指导教师：薛熠201105AbstractTheeconomicliteraturecontainsmanytheoreticalandempiricalanalysesofnon-sequentialherdbehaviorbutrelativelyfewstu

2、diesofsequentialherdbehavior．Thispaperaimstoaddressthatshortcoming．Incompleteinformationstaticgamemodelshowsthatindividualinvestorswillalwaysjudgethedealer’Ssituationaccordingtothepseudosignalthattheinstitutionalinvestorsend，andthenmakemeirdecisions．Thela

3、rgeramountofthestock’Svolumeheldbyinstitutionalinvestors，orthemorethefalseinformation，thelesstheindividualinvestors’profit．Empiricalherdbehaviortestbasedondatasamplefrom2010--08··30to2011—-03--03ofeachtransactionrecordsofallthestocktradinginShanghaisecuri

4、tiesmarketindicatesthat：1)SignificantsequentialherdingbehaviorofindividualinvestortoinstitutionalinvestorWasfound．2)Individualinvestorsshowpositivefeedbacktothechangeofmarketretuillandinstitutionalinvestors’behaviorinthesameperiod，whichinferthatindividual

5、investorsCangettradinginformationandreacttoitinaveryshortperiod．Institutionalinvestorshavepositivefeedbacktoone—periodlagmarketinformation．3)Accordingtothetestresults，wecaninferthatindividualinvestorsarenotinformationinvestor．Astoinstitutionalinvestors，me

6、yCaninfluenceindividualinvestorsandthewholemarket．Eveniftheydon’thavemoreinformationaboutthemarket，theyCanmanipulatethemarketbyusingtheircapitalpowerandtheirinfluencepowertoindividualinvestors’behavior．Keywords：sequentialherdbehavior,institutionalinvestor

7、s，individualinvestorsA．BackgroundI．IntroductionSecuritiesmarketreferstothe圈肛nofsupplyanddemandrelationshipformedfromtransactionofsecurityassetsanditsmechanism，itisthetransactionsplaceforbothsidesofthecapitalsupplyanddemandtorealizecurrencylendingandfinanc

8、ingthroughvariouschannels．StockmarkethasnUlllerOUSparticipants：enterprise，individual，government，financialinstitutions，thedepositfinancialinstitutionsandothersecuritiesregulators，thoseparticipantshavedaedalrelationsh