The Test of Herding Behavior in the Shanghai-Shenzhen Stock Market When the Price Undulates Violently

Two kinds of methods (the disperse degree test and the cross-sectional absolute deviation (CSAD)) are used in this paper to test the herding behavior when the price of Chinese stock market undulates violently. The methods of test are different so that the results are not completely consistent. Because the different test method, so the two results are different. It can be found from compare and analyses that the disperse degree test can examine the very violent Herding Behavior only, but can't examine the lighter Herding Behavior intelligently. However, method of CSAD, can examine the existence of the Herding Behavior intelligently, and the result is even more rational. The result of CSAD shows that there exist very obvious Herding Behaviors whether both stock markets of Shanghai and Shenzhen are bull markets or bear markets. This phenomenon is more obvious in Shanghai stock market than the one in Shenzhen stock market. Comparing and analyzing the coefficient of regression, we find that the tendency of "chase rising" is bigger than the tendency of "kill to fall" in Chinese stock market