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Journal article
Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis
Global finance journal, v 21(1)
2010
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This study examines the herding behavior of investors in Chinese stock markets. Using a least squares method, we find evidence of herding within both the Shanghai and Shenzhen A-share markets and no evidence of herding within both B-share markets. A-share investors display herding formation in both up and down markets. However, we cannot find herding activity for B-share investors in the up market. By applying quantile regression analysis to estimate the herding equation, we find supporting evidence of herding behavior in both A-share and B-share investors conditional on the dispersions of returns in the lower quantile region.
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Details
- Title
- Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis
- Creators
- Thomas C. Chiang - Drexel UniversityJiandong Li - Central University of Finance and EconomicsLin Tan - California State Polytechnic University
- Publication Details
- Global finance journal, v 21(1)
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Web of Science ID
- WOS:000216280800007
- Scopus ID
- 2-s2.0-77953229575
- Other Identifier
- 991019167559104721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance