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Herding In Chinese Stock Market: Evidence from Two Stock Exchanges

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DOI: 10.23977/edms.2019.013


Ning Xu

Corresponding Author

Ning Xu


This paper investigates herding in dual-listed Chinese A-share and B-share stocks by using daily data of 87 Chinese stocks between 2009–2016. Based on the CCK model, we find that the A-share and B-share markets of the two stock exchanges both have herding behavior. There is asymmetry in the herd behavior of Chinese stock market, The B-share market has a stronger herd effect when the volatility is high and the trading volume is large, and herding is more obvious when the volatility of the A-share market is high. We explore the difference between spurious (informational) and intentional (non-informational) herding in the Chinese market, the intentional herding in Chinese stock market is obvious.


Herding, Chinese stock market, Asymmetric behavior

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