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The influence of the US market on herding behaviour in China

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  • Ziyao Luo
  • Christophe Schinckus

Abstract

This article investigates the influence of the US market on the herding behaviour on Chinese financial market through an analysis of daily data from the Shanghai and Shenzhen stock exchange markets for the period 2006-2012. This period is very informative because the financial crisis that emerged on the US market quickly widespread at a global level and that specific situation can generate herding behaviour. Results confirm the influence of the US market on the Chinese stock markets, but they show there is no contagion effect between these two countries. These results can be partly explained by the difference in terms of market structure: China stock markets have a unique micro- and macro-structure within which the government can easily intervene in case of destabilizing situation while the US markets are mainly independent of government.

Suggested Citation

  • Ziyao Luo & Christophe Schinckus, 2015. "The influence of the US market on herding behaviour in China," Applied Economics Letters, Taylor & Francis Journals, vol. 22(13), pages 1055-1058, September.
    • Handle: RePEc:taf:apeclt:v:22:y:2015:i:13:p:1055-1058
    DOI: 10.1080/13504851.2014.997920
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    Citations

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    Cited by:

    1. Chong, Oiping & Bany- Ariffin, A.N. & Matemilola, Bolaji Tunde & McGowan, C.B., 2020. "Can China’s cross-sectional dispersion of stock returns influence the herding behaviour of traders in other local markets and China’s trading partners?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    2. Yi-Chang Chen & Hung-Che Wu & Jen-Jsung Huang, 2017. "Herd Behavior and Rational Expectations: A Test of China's Market Using Quantile Regression," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 649-663.
    3. Lee, Kyuseok, 2017. "Herd behavior of the overall market: Evidence based on the cross-sectional comovement of returns," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 266-284.
    4. Hang Zhang & Evangelos Giouvris, 2022. "Measures of Volatility, Crises, Sentiment and the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS (2007–2021)," JRFM, MDPI, vol. 15(3), pages 1-42, March.
    5. Ramzi Benkraiem & Mondher Bouattour & Emilios Galariotis & Anthony Miloudi, 2021. "Do investors in SMEs herd? Evidence from French and UK equity markets," Small Business Economics, Springer, vol. 56(4), pages 1619-1637, April.
    6. Wen, Shaobo & An, Haizhong & Huang, Shupei & Liu, Xueyong, 2019. "Dynamic impact of China's stock market on the international commodity market," Resources Policy, Elsevier, vol. 61(C), pages 564-571.
    7. 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.

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