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

被引：142

作者：

Chiang, Thomas C. ^{[1
]}

Li, Jiandong ^{[2
]}

Tan, Lin ^{[3
,4
]}

机构：

[1] Drexel Univ, 101 North 33rd St, Philadelphia, PA 19104 USA

[2] Chinese Acad Finance & Dev, CUFE, Beijing 100081, Peoples R China

[3] Calif State Polytechn Univ, 3801 West Temple Ave, Pomona, CA 91768 USA

[4] Yunnan Univ Finance & Econ, Kunming 650221, Yunnan, Peoples R China

来源：

GLOBAL FINANCE JOURNAL | 2010年 / 21卷 / 01期

关键词：

Herding behavior; Chinese stock market; Quantile regression; Asymmetry;

D O I：

10.1016/j.gfj.2010.03.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines the herding behavior of investors in Chinese stock markets. Using a least squaresmethod, 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 anddown 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. (C) 2010 Elsevier Inc. All rights reserved.

引用

页码：111 / 124

页数：14

共 26 条

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