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Time‐Varying Investor Herding in Chinese Stock Markets

Author

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  • Haiqi Li
  • Ying Liu
  • Sung Y. Park

Abstract

We develop several new time‐varying coefficient regression models to investigate herding behavior in Chinese stock markets. We find evidence that herding behavior occurs during turbulent periods rather than periods of relative tranquility, which does not appear when using a conventional fixed‐coefficient regression model. Moreover, the US return dispersion had a significant influence on Chinese stock markets before 2015 but not in 2015. Finally, the herding shows significant asymmetry.

Suggested Citation

  • Haiqi Li & Ying Liu & Sung Y. Park, 2018. "Time‐Varying Investor Herding in Chinese Stock Markets," International Review of Finance, International Review of Finance Ltd., vol. 18(4), pages 717-726, December.
    • Handle: RePEc:bla:irvfin:v:18:y:2018:i:4:p:717-726
    DOI: 10.1111/irfi.12158
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    Cited by:

    1. Fu, Jingxue & Wu, Lan, 2021. "Regime-switching herd behavior: Novel evidence from the Chinese A-share market," Finance Research Letters, Elsevier, vol. 39(C).
    2. Oi-Ping Chong & A.N. Bany-Ariffin & Annuar Md Nassir & Junaina Muhammad, 2019. "An Empirical Study of Herding Behaviour in China’s A-Share and B-Share Markets: Evidence of Bidirectional Herding Activities," Capital Markets Review, Malaysian Finance Association, vol. 27(2), pages 37-57.
    3. Bao, Te & Ma, Mengzhong & Wen, Yonggang, 2023. "Herding in the non-fungible token (NFT) market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    4. Hui HONG & Shulin XU & Chien-Chiang LEE, 2020. "Investor Herding in the China Stock Market: An Examination of ChiNext," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 47-61, December.

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