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Abstract

This paper examines the causes of herd behavior in the Chinese stock market.
Using the non-linear model of Chang, Cheng and Khorana 2000, we find robust evidence of herding in both the up and down markets.
We contribute to the existing literature by exploring the underlying reasons for herding in China.
It is shown that analyst recommendation, short-term investor horizon, and risk are the principal causes of herding.
However, we cannot find evidence that relates herding to firm size, nor can we detect significant differences in herding between state-owned enterprises SOE and non-SOEs.



Item Type: MPRA Paper -

Original Title: What Explains Herd Behavior in the Chinese Stock Market?-

Language: English-

Keywords: A-share market; Herd behavior; Return dispersion; Systemic risk.-

Subjects: G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets-





Autor: Chong, Terence Tai-Leung

Fuente: https://mpra.ub.uni-muenchen.de/72100/



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