Herding tendency among investors with heterogeneous information: Evidence from China’s equity markets

Yaseen S. Alhaj-Yaseen and Siu-Kong Yau

Journal of Multinational Financial Management, 2018, vol. 47-48, 60-75

Abstract: We investigate herding behavior using daily data of 87 Chinese stocks cross-listed on the A- and B-markets between 1996–2012, and shed light on herding within and between groups of investors with heterogeneous information. In addition to examining unconditional herding before and after the 2001-02 Chinese market liberalization, we explore different patterns of herd formation under different information environments. The results show that herding is present in both markets; however, while its intensity dropped significantly in the B-market after liberalization, it remains relatively unchanged in the A-market. Investors in the A-market exhibit intentional (non-fundamental) and unintentional (fundamental) herding over the entire period, while investors in the B-market exhibit intentional herding prior to market liberalization as well as both intentional and unintentional herding thereafter. Additionally, the results reveal possible interactions among and between arbitrageurs and noise traders in both markets.

Keywords: Chinese equity market; Herding behavior; Heterogeneous information; Market liberalization (search for similar items in EconPapers)
JEL-codes: G02 G14 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042444X18300653
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:47-48:y:2018:i::p:60-75

DOI: 10.1016/j.mulfin.2018.11.001

Access Statistics for this article

Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth

More articles in Journal of Multinational Financial Management from Elsevier
Bibliographic data for series maintained by Catherine Liu ().