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

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

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.

Suggested Citation

  • Chiang, Thomas C. & Li, Jiandong & Tan, Lin, 2010. "Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis," Global Finance Journal, Elsevier, vol. 21(1), pages 111-124.
    • Handle: RePEc:eee:glofin:v:21:y:2010:i:1:p:111-124
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