Time‐Varying Investor Herding in Chinese Stock Markets

Haiqi Li, Ying Liu and Sung Y. Park

International Review of Finance, 2018, vol. 18, issue 4, 717-726

Abstract: We develop several new time‐varying coefficient regression models to investigate herding behavior in Chinese stock markets. We find evidence that herding behavior occurs during turbulent periods rather than periods of relative tranquility, which does not appear when using a conventional fixed‐coefficient regression model. Moreover, the US return dispersion had a significant influence on Chinese stock markets before 2015 but not in 2015. Finally, the herding shows significant asymmetry.

Date: 2018
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