  The herd behavior of returns is investigated in Korean futures exchange
market. It is obtained that the probability distribution of returns for three
types of herding parameter scales as a power law $R^{-\beta}$ with the
exponents $ \beta=3.6$(KTB203) and 2.9(KTB209) in two kinds of Korean treasury
bond. For our case since the active state of transaction exists to decrease
lesser than the herding parameter $h=2.33$, the crash regime appears to
increase in the probability with high returns values. Especially, we find that
it shows a crossover toward a Gaussian probability function near the time step
$\Delta t=360$ from the distribution of normalized returns. Our result will be
also compared with other well-known results.
