Herding in Chinese stock markets: a nonparametric approach

Syed F. Mahmud () and Murat Tiniç
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Syed F. Mahmud: Bilkent University
Murat Tiniç: Bilkent University

Empirical Economics, 2018, vol. 55, issue 2, No 13, 679-711

Abstract: Abstract The paper reports new evidence of herding in the Chinese A-type and B-type markets by employing nonparametric kernel regression. We find statistically significant evidence of herding in A-type market under both extreme high and low market returns. Herding in B-type market, which predominantly consists of foreign investors, indicates only weak evidence of herding. We do not find any statistically significant evidence of herding in the pre-2001 sample of B-type market, when only foreign investors could do the trading. Lack of knowledge and experience of local investors may be attributed to the presence of herd behaviour in the Chinese markets.

Keywords: Herding behaviour; Chinese stock market; Nonparametric regression (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00181-017-1281-y

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