What Explains Herd Behavior in the Chinese Stock Market?

Terence Tai Leung Chong, Xiaojin Liu and Chenqi Zhu

Journal of Behavioral Finance, 2017, vol. 18, issue 4, 448-456

Abstract: This article examines the causes of herd behavior in the Chinese stock market. Using the nonlinear model of Chang, Cheng, and Khorana [2000], the authors of this article find robust evidence of herding in both the up and down markets. They contribute to the existing literature by exploring the underlying reasons for herding in China. It is shown that analyst recommendation, short-term investor horizon, and risk are the principal causes of herding. However, the authors cannot find evidence that relates herding to firm size, nor can they detect significant differences in herding between state-owned enterprises and non–state-owned enterprises.

Date: 2017
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Citations: View citations in EconPapers (14)

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Working Paper: What Explains Herd Behavior in the Chinese Stock Market? (2016)
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DOI: 10.1080/15427560.2017.1365365

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