Herding in Chinese stock markets: a nonparametric approach

Syed F. Mahmud, Murat Tiniç

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

The paper reports new evidence of herding in the Chinese A-type and B-type markets by employing nonparametric kernel regression. We find statistically significant evidence of herding in A-type market under both extreme high and low market returns. Herding in B-type market, which predominantly consists of foreign investors, indicates only weak evidence of herding. We do not find any statistically significant evidence of herding in the pre-2001 sample of B-type market, when only foreign investors could do the trading. Lack of knowledge and experience of local investors may be attributed to the presence of herd behaviour in the Chinese markets.
Original languageEnglish
Pages (from-to)679-711
JournalEmpirical Economics
Volume55
Issue number2
DOIs
Publication statusPublished - 1 Sept 2018
Externally publishedYes

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