Herding in China Equity Market

Tzewei Fu

Abstract


This study explores herding behavior and investors’ asymmetric reactions to good news and bad news in China equity market. Turnover effect on herding is tested. Data covers from Jan 2004 to June 2009, including current financial panic period.

Even though there do not exist herding behavior in China equity market, we demonstrate the existence of asymmetric reaction that investors’ tendency toward herding is significantly higher during market downstream. This study partly supports the turnover effect that low turnover stocks significantly converge to market return than high turnover stocks.

Keywords: China equity market, herd, turnover rate, asymmetric reaction


Full Text: PDF

Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.

International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

Copyright © Canadian Center of Science and Education

To make sure that you can receive messages from us, please add the 'ccsenet.org' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.