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Herding behavior in Hong Kong stock market during the COVID-19 period: a systematic detection approach

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  • Conghua Wen
  • Zixi Yang
  • Rui Jiang

Abstract

The study intends to conduct a systematic mechanism for herding detection in the Hong Kong stock market. We take stocks from three market sectors as samples and investigate the existence of herding in the two periods: before and during the outbreak of COVID-19 in Hong Kong, from August 2019 to July 2020. We adopt CCK model-based OLS and quantile regression to examine herding in each observed period and employ HS model to measure the magnitude of herding during the time. The empirical results indicate the emergence of mild herding from August 2019 to January 2020, and the herding phenomenon is generally weakened between February and July 2020. Our study confirms the implication of the systematic herding detection mechanism that can improve the sensitivity of detection and capture the magnitude and variation of herding.

Suggested Citation

  • Conghua Wen & Zixi Yang & Rui Jiang, 2022. "Herding behavior in Hong Kong stock market during the COVID-19 period: a systematic detection approach," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 20(2), pages 159-170, April.
    • Handle: RePEc:taf:jocebs:v:20:y:2022:i:2:p:159-170
    DOI: 10.1080/14765284.2021.1948320
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