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《Research on the Generalized Virtual Economy》 2016-01
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The Empirical Analysis of Herd Behavior in Stock Market Based on the CSAD Model

DAI Shu-geng;Lu Bin;The Department of Finance,School of Economics,Xiamen University;  
This article constructs the deviation indicator(CSAD) between stock return and the weighted market return based on CSAD model, chooses the stocks composed CSI 300 Index to test whether there exists herd behavior in domestic stock market. The empirical conclusion shows that from 2011 to 2014, there exists herd behavior in domestic stock market. Besides, the asymmetry of the herd behavior shows that it is more obvious in rising market than the down market and also more obvious in large-cup stocks than small and media-cup stocks. This empirical conclusion is meaningful to the investors and the system of stock market.
【Fund】: 广义虚拟经济研究专项资助项目[项目编号:GX2013-1005(Y)]
【CateGory Index】: F832.51;F224
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