Herding and fundamental factors: The Hong Kong experience

Keith S.K. Lam and Zhuo Qiao

Pacific-Basin Finance Journal, 2015, vol. 32, issue C, 160-188

Abstract: We examine both market herding and industrial herding in the Hong Kong stock market. Our results find evidence that herding occurs in both the first and second sub-periods. We also find herding in the up-market, high trading volume, and high and low trading-volatility states after controlling for CSAD volatility. In addition, industrial herding remains even when market and size herding disappear after 1993 when short selling and stock options were introduced. Consistent with the literature, we find that investors do not herd on market/industry and systematic factors at the same time.

Keywords: Industrial herding; CSAD; Fundamental factors; Fama–French and liquidity factors (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:32:y:2015:i:c:p:160-188

DOI: 10.1016/j.pacfin.2014.11.002

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