Time-Varying Herding Behavior, Global Financial Crisis, and the Chinese Stock Market

Susan Sharma, Paresh Narayan () and Kannan Thuraisamy ()
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Paresh Narayan: Centre for Economics and Financial Econometrics Research, Deakin University, Australia
Kannan Thuraisamy: Centre for Economics and Financial Econometrics Research, Deakin University, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2015, vol. 18, issue 02, 1-31

Abstract: In this paper, we examine the evidence of herding behavior on the Chinese stock market. Our main findings are as follows. First, we find strong evidence of herding behavior on both the Shanghai and Shenzhen stock exchanges. Second, we document evidence of asymmetric herding behavior with greater magnitude of herding behavior on up markets than on down markets. Third, our findings suggest that herding behavior is sector-specific and predominant in the industrial and properties sectors. Finally, we unravel strong evidence suggesting that herding behavior is time-varying and in some sectors time-varying herding behavior is more prevalent than in other sectors.

Keywords: Herding behavior; sectors; markets; time-varying (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (15)

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DOI: 10.1142/S0219091515500095

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