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      • Department of Economics
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      Herding in Chinese stock markets: a nonparametric approach

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      Author(s)
      Mahmud, S. F.
      Tiniç, M.
      Date
      2018
      Source Title
      Empirical Economics
      Print ISSN
      0377-7332
      Electronic ISSN
      1435-8921
      Publisher
      Springer Verlag
      Volume
      55
      Issue
      2
      Pages
      679 - 711
      Language
      English
      Type
      Article
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      301
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      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.
      Keywords
      Chinese stock market
      Herding behaviour
      Nonparametric regression
      Permalink
      http://hdl.handle.net/11693/50239
      Published Version (Please cite this version)
      https://doi.org/10.1007/s00181-017-1281-y
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      • Department of Economics 697
      • Department of Management 610
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