Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis

Thomas Chiang (), Jiandong Li and Lin Tan

Global Finance Journal, 2010, vol. 21, issue 1, 111-124

Abstract: This study examines the herding behavior of investors in Chinese stock markets. Using a least squares method, we find evidence of herding within both the Shanghai and Shenzhen A-share markets and no evidence of herding within both B-share markets. A-share investors display herding formation in both up and down markets. However, we cannot find herding activity for B-share investors in the up market. By applying quantile regression analysis to estimate the herding equation, we find supporting evidence of herding behavior in both A-share and B-share investors conditional on the dispersions of returns in the lower quantile region.

Keywords: Herding; behavior; Chinese; stock; market; Quantile; regression; Asymmetry (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (88)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:21:y:2010:i:1:p:111-124

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