{"title":"Time‐Varying Investor Herding in Chinese Stock Markets","authors":"Haiqi Li, Ying Liu, Sung Park","doi":"10.1111/irfi.12158","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":326622,"journal":{"name":"Wiley-Blackwell: International Review of Finance","volume":"32 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"8","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Wiley-Blackwell: International Review of Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/irfi.12158","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 8
Abstract
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.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
