The Study of Stock Risk and Its Contagion-Based on Multi-attribute Herding Behavior

Herding behavior,which was driven by information and emotion,was attributed with "internal" or "external","hidden" or "explicit","buy" or "sell" according to investors' different information resources,changes in trade direction or trade volume by receiving the information and the trade direction of the submitted order. To study formation mechanism of herding behavior and its implication on stock risk and contagion,a artificial stock market containing two stocks with different characteristics has been constructed. The result has shown that total herding behavior was highly related to the average emotion in the stock market,that fluctuation of stock price was expanded by herding behavior significantly and hidden herding behavior has an explanatory for price falls in two stocks,that when the overall stock market soaring and the price of two stocks was much higher than its intrinsic value,risk contagion would be caused by interaction between internal herding and external herding.