Herding in Chinese stock markets: a nonparametric approach
Date
2018
Authors
Mahmud, S. F.
TiniƧ, M.
Editor(s)
Advisor
Supervisor
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Co-Supervisor
Instructor
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
Journal Title
Journal ISSN
Volume Title
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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.