What Explains Herd Behavior in the Chinese Stock Market?
Terence Tai Leung Chong (),
Xiaojin Liu and
MPRA Paper from University Library of Munich, Germany
This paper examines the causes of herd behavior in the Chinese stock market. Using the non-linear model of Chang, Cheng and Khorana (2000), we find robust evidence of herding in both the up and down markets. We 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, we cannot find evidence that relates herding to firm size, nor can we detect significant differences in herding between state-owned enterprises (SOE) and non-SOEs.
Keywords: A-share market; Herd behavior; Return dispersion; Systemic risk. (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cna, nep-fmk, nep-net and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:72100
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