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Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis

  • Chiang, Thomas C.
  • Li, Jiandong
  • Tan, Lin

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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Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 21 (2010)
Issue (Month): 1 ()
Pages: 111-124

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Handle: RePEc:eee:glofin:v:21:y:2010:i:1:p:111-124
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