scholarly journals Herding Behavior in Chinese Stock Markets during COVID-19

2020 ◽  
Vol 56 (15) ◽  
pp. 3578-3587
Author(s):  
Guosong Wu ◽  
Boxian Yang ◽  
Ningru Zhao
Keyword(s):  
Stock Markets ◽  
Herding Behavior ◽  
Chinese Stock Markets

Herding behavior in Chinese stock markets: An examination of A and B shares

2008 ◽  
Vol 16 (1-2) ◽  
pp. 61-77 ◽  
Author(s):  
Lin Tan ◽  
Thomas C. Chiang ◽  
Joseph R. Mason ◽  
Edward Nelling
Keyword(s):  
Stock Markets ◽  
Herding Behavior ◽  
Chinese Stock Markets

Herd Behaviour: How Decisive is the Noise in the NSE and BSE Stock Markets?

2016 ◽  
Vol 6 (1) ◽  
Author(s):  
Paritosh Chandra Sinha
Keyword(s):  
Behavioral Finance ◽  
Stock Markets ◽  
High Frequency ◽  
Stock Exchange ◽  
Time Stamp ◽  
Trade Volume ◽  
Herding Behavior ◽  
Equilibrium Pricing ◽  
Indian Context ◽  
Herd Behaviour

Do investors in the stock markets act/react on true information or noise? Do they believe on their own information or simply herd? The study seeks to explore these typical research queries from the behavioral finance perspectives. In particular, it develops a new theory of herding behavior and extends the models of Banerjee (1992) and Bikhchandani, Hirshleifer, and Welch (1992). The study also empirically tests the same on the Indian context with the high frequency intraday trading data for the real trade-time or time-stamp, trade-volume, and trade-price of ten sample scripts listed for their trading in both markets - the Bombay Stock Exchange (BSE) and the National stock Exchange (NSE). The study contributes to the literature with original findings. It shows that investors in the two Indian stock markets show crowd of positive and negative herding as well significantly and there is huge noise along with information in the markets equilibrium pricing mechanism.

POWER LAW AND STRETCHED EXPONENTIAL EFFECTS OF EXTREME EVENTS IN CHINESE STOCK MARKETS

2010 ◽  
Vol 09 (02) ◽  
pp. 203-217 ◽  
Author(s):  
XIAOJUN ZHAO ◽  
PENGJIAN SHANG ◽  
YULEI PANG
Keyword(s):  
Correlation Analysis ◽  
Power Law ◽  
Extreme Events ◽  
Stock Markets ◽  
Cross Correlation ◽  
Extreme Values ◽  
Cumulative Distribution ◽  
Stretched Exponential ◽  
Cross Correlation Analysis ◽  
Chinese Stock Markets

This paper reports the statistics of extreme values and positions of extreme events in Chinese stock markets. An extreme event is defined as the event exceeding a certain threshold of normalized logarithmic return. Extreme values follow a piecewise function or a power law distribution determined by the threshold due to a crossover. Extreme positions are studied by return intervals of extreme events, and it is found that return intervals yield a stretched exponential function. According to correlation analysis, extreme values and return intervals are weakly correlated and the correlation decreases with increasing threshold. No long-term cross-correlation exists by using the detrended cross-correlation analysis (DCCA) method. We successfully introduce a modification specific to the correlation and derive the joint cumulative distribution of extreme values and return intervals at 95% confidence level.

Integrating A- and B-Share Markets in China: The Effects of Regulatory Policy Changes on Market Efficiency

2007 ◽  
Vol 10 (03) ◽  
pp. 309-328 ◽  
Author(s):  
Changjiang Lu ◽  
Kemin Wang ◽  
Haiwei Chen ◽  
James Chong
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Detrimental Effect ◽  
Regulatory Policy ◽  
International Markets ◽  
Policy Changes ◽  
Foreign Investors ◽  
Price Differential ◽  
Chinese Stock Markets ◽  
A Share

We investigate the effectiveness of two recent regulatory policy changes on market efficiency in the Chinese A- and B-share markets. Overall, the opening of the B-share market to domestic Chinese investors and the limited opening of the A-share market to foreign investors increase market efficiency. The opening of the B-share market significantly reduces the price differential between A- and B-shares. Furthermore, there is no longer feedback in returns between the two markets in recent years. Our results provide evidence that there is no detrimental effect to market efficiency by integrating Chinese investors to international markets and foreign investors to the Chinese stock markets.

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