The influence of the US market on herding behaviour in China

Ziyao Luo and Christophe Schinckus

Applied Economics Letters, 2015, vol. 22, issue 13, 1055-1058

Abstract: This article investigates the influence of the US market on the herding behaviour on Chinese financial market through an analysis of daily data from the Shanghai and Shenzhen stock exchange markets for the period 2006-2012. This period is very informative because the financial crisis that emerged on the US market quickly widespread at a global level and that specific situation can generate herding behaviour. Results confirm the influence of the US market on the Chinese stock markets, but they show there is no contagion effect between these two countries. These results can be partly explained by the difference in terms of market structure: China stock markets have a unique micro- and macro-structure within which the government can easily intervene in case of destabilizing situation while the US markets are mainly independent of government.

Date: 2015
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DOI: 10.1080/13504851.2014.997920

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