Herding Behavior in Chinese Stock Markets: An Examination of A and B Shares

摘要：

This study examines herding behavior in dual-listed Chinese A-share and B-share stocks. We find evidence of herding within both the Shanghai and Shenzhen A-share markets that are dominated by domestic individual investors, and also within both B-share markets, in which foreign institutional investors are the main participants. Herding occurs in both rising and falling market conditions. Herding behavior by A-share investors in the Shanghai market is more pronounced under conditions of rising markets, high trading volume, and high volatility, while no asymmetry is apparent in the B-share market.

作者: Lin Tan Thomas C. Chiang Joseph R. Mason Edward Nelling

作者单位: California State Polytechnic University, Pomona Assistant Professor of Finance 3801 West Temple Aven Drexel University 101 North 33rd Street Philadelphia, PA 19104, USA

会议类型: 国际会议

会议名称: 2007年中国金融国际年会

会议地点: 成都

会议语种:英文

页码: 1-35

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）