کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963331 | 930310 | 2006 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Does herding behavior exist in Chinese stock markets?
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper examines the presence of herd formation in Chinese markets using both individual firm- and sector-level data. We analyze the behavior of return dispersions during periods of unusually large upward and downward changes in the market index. We also distinguish between the Shanghai and Shenzhen stock exchanges at the sector-level. Our findings indicate that herd formation does not exist in Chinese markets. We find that equity return dispersions are significantly higher during periods of large changes in the aggregate market index. However, comparing return dispersions for upside and downside movements of the market, we observe that return dispersions during extreme downside movements of the market are much lower than those for upside movements, indicating that stock returns behave more similarly during down markets. The findings support rational asset pricing models and market efficiency. Policy implications of the results for policymakers are discussed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 16, Issue 2, April 2006, Pages 123-142
Journal: Journal of International Financial Markets, Institutions and Money - Volume 16, Issue 2, April 2006, Pages 123-142
نویسندگان
Rıza Demirer, Ali M. Kutan,