Idioma:

Time‐Varying Investor Herding in Chinese Stock Markets

Li, Haiqi ; Liu, Ying ; Park, Sung Y.

International review of finance, 2018-12, Vol.18 (4), p.717-726 [Periódico revisado por pares]

Texto completo disponível

Citações Citado por

Título:
Time‐Varying Investor Herding in Chinese Stock Markets
Autor: Li, Haiqi ; Liu, Ying ; Park, Sung Y.
Assuntos: Random walk theory ; Regression analysis ; Securities markets ; Stock exchanges
É parte de: International review of finance, 2018-12, Vol.18 (4), p.717-726
Descrição: We develop several new time‐varying coefficient regression models to investigate herding behavior in Chinese stock markets. We find evidence that herding behavior occurs during turbulent periods rather than periods of relative tranquility, which does not appear when using a conventional fixed‐coefficient regression model. Moreover, the US return dispersion had a significant influence on Chinese stock markets before 2015 but not in 2015. Finally, the herding shows significant asymmetry.
Editor: Melbourne: John Wiley & Sons Australia, Ltd
Idioma: Inglês

Voltar para lista de resultados

Anterior Resultado 12 Avançar Ir para próxima página