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Herding in Chinese stock markets: a nonparametric approach

Author

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  • Syed F. Mahmud

    (Bilkent University)

  • Murat Tiniç

    (Bilkent University)

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.

Suggested Citation

  • Syed F. Mahmud & Murat Tiniç, 2018. "Herding in Chinese stock markets: a nonparametric approach," Empirical Economics, Springer, vol. 55(2), pages 679-711, September.
    • Handle: RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1281-y
    DOI: 10.1007/s00181-017-1281-y
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    Cited by:

    1. Hui HONG & Shulin XU & Chien-Chiang LEE, 2020. "Investor Herding in the China Stock Market: An Examination of ChiNext," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 47-61, December.

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    More about this item

    Keywords

    Herding behaviour; Chinese stock market; Nonparametric regression;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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