Based on CSAD model, this paper constructs the deviation index (CSAD) between stock return and weighted market return, and selects the constituent stocks of Shanghai and Shenzhen 300 Index as samples to test the herding effect in China stock market.

Futures and spot are completely different. Spot is actually a tradable commodity. Futures are mainly not commodities, but standardized tradable contracts based on some popular products such as cotton, soybeans and oil and financial assets such as stocks and bonds. Therefore, the subject matter can be commodities (such as gold, crude oil and agricultural products) or financial instruments.