Herding in Chinese stock markets: Evidence from the dual-investor-group

Tengdong Liu, Dazhi Zheng, Suyan Zheng and Yang Lu

Pacific-Basin Finance Journal, 2023, vol. 79, issue C

Abstract: Employing the group-specific herding measure, we explore the herding behavior in Chinese stock markets where a dual-group investor structure exists. Using high-frequency trading data, we find that the in-group herding tendency for most-informed investors and least-informed investors exhibits different patterns and has distinct effects on the market level herding as well as on subsequent market performances. Those effects are different in the “pre-peak” period and “post-peak” period from 7/2014 to 6/2016. Specifically, the evidence suggests that most-informed investors generally herd less than least-informed investors in the Chinese stock markets, but the gap narrows down when the market collapses and uncertainty increases. In addition, informed investors herd on fundamental factors and uninformed investors herd on non-fundamental factors only in the “post-peak” period.

Keywords: Herding behavior; Herding tendency; Institutional investors; Chinese stock markets (search for similar items in EconPapers)
JEL-codes: G14 G15 G40 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000586

DOI: 10.1016/j.pacfin.2023.101992

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