Author(s)

Ning Xu

Corresponding Author

Ning Xu

ABSTRACT

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.

KEYWORDS

Herding, Chinese stock market, Asymmetric behavior