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Time-varying herding behavior, global financial crisis, and the Chinese stock market

Sharma, Susan Sunila, Narayan, Paresh and Thuraisamy, Kannan 2015, Time-varying herding behavior, global financial crisis, and the Chinese stock market, Review of pacific basin financial markets and policies, vol. 18, no. 2, pp. 1-31, doi: 10.1142/S0219091515500095.

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Title Time-varying herding behavior, global financial crisis, and the Chinese stock market
Author(s) Sharma, Susan Sunila
Narayan, Paresh
Thuraisamy, Kannan
Journal name Review of pacific basin financial markets and policies
Volume number 18
Issue number 2
Start page 1
End page 31
Total pages 31
Publisher World Scientific Publishing
Place of publication London, Eng.
Publication date 2015-06-26
ISSN 0219-0915
Keyword(s) Herding behavior
markets
sectors
time-varying
Summary 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.
Language eng
DOI 10.1142/S0219091515500095
Field of Research 150202 Financial Econometrics
Socio Economic Objective 970115 Expanding Knowledge in Commerce
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, World Scientific Publishing
Persistent URL http://hdl.handle.net/10536/DRO/DU:30076670

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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Created: Mon, 31 Aug 2015, 10:38:42 EST

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