Premium
Time‐Varying Investor Herding in Chinese Stock Markets
Author(s) -
Li Haiqi,
Liu Ying,
Park Sung Y.
Publication year - 2018
Publication title -
international review of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.489
H-Index - 18
eISSN - 1468-2443
pISSN - 1369-412X
DOI - 10.1111/irfi.12158
Subject(s) - herding , stock (firearms) , econometrics , herd behavior , economics , financial economics , asymmetry , geography , quantum mechanics , forestry , physics , archaeology
We develop several new time‐varying coefficient regression models to investigate herding behavior in Chinese stock markets. We find evidence that herding behavior occurs during turbulent periods rather than periods of relative tranquility, which does not appear when using a conventional fixed‐coefficient regression model. Moreover, the US return dispersion had a significant influence on Chinese stock markets before 2015 but not in 2015. Finally, the herding shows significant asymmetry.