Herding behaviour in the Chinese and Indian stock markets

Lao, Paulo; Singh, Harminder

doi:10.1016/j.asieco.2011.08.001

Cited by 172 publications

(176 citation statements)

References 27 publications

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“…Therefore, the herding more likely happened in a stock market when it was segmented. The existence of herding found in China stock market was in line with Chiang and Zheng (2010) and Lao and Singh (2011). In addition, similar finding of herding in Philippines stock market had been reported by Khan and Park (2009).…”

Section: Journal Of International Studiessupporting

confidence: 73%

“…For example, herding behavior was found in the UK (Chiang & Zheng, 2010), China (Chiang & Zheng, 2010;Lao & Singh, 2011;Tan et al, 2008), Hong Kong (Chiang & Zheng, 2010;Lam & Qiao, 2015), Germany, France (Chiang & Zheng, 2010), Italy and Greece (Economou et al, 2011;Messis & Zapranis, 2014). In contrast, this type of behavior was not found by some other researchers studying exactly the same markets, i.e., the UK (Galariotis et al, 2015), China (Demirer & Kutan, 2006), Hong Kong (Chang et al, 2000), Germany, France, Italy, and Greece (Mobarek et al, 2014).…”

Section: Introductionmentioning

confidence: 64%

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Applying an international CAPM to herding behaviour model for integrated stock markets

Najmudin

Syarif

Wahyudi

et al. 2017

Journal of International Studies

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Abstract. Development of financial globalization in the form of stock market integration experiences a trend which is getting stronger. The analysis models in the field of finance and investments should be able to adjust to these developments. This adjustment includes the models used to detect the existence of herding behavior. All this time, the herding behavior model of individual stocks towards market consensus has been referring to CAPM theory. The basic assumption of CAPM is that financial assets at a domestic stock market are segmented from the financial assets' movement at the global market. Therefore, this paper aims to provide an alternative view in the form of an international herding model that should be applied in the context of an integrated stock market. The model was created with reference to the international CAPM. This paper combined ICAPM method and international CSAD model to identify herding for eight stock markets, the sample period being from January 2003 to December 2016. The result found that for segmented stock markets, represented by China Vol.10, No.4, 2017 48 and the Philippines, herding happened for both overall the sample period and the market crisis period. In addition, for the integrated stock markets, represented by Indonesia, Japan, Malaysia, Singapore, Thailand, and the UK, herding behavior was only found during the market crisis period. Therefore, classification of market integrations should be considered in assessing the herding behaviour at stock markets.

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Section: Journal Of International Studiessupporting

confidence: 73%

Section: Introductionmentioning

confidence: 64%

Applying an international CAPM to herding behaviour model for integrated stock markets

Najmudin

Syarif

Wahyudi

et al. 2017

Journal of International Studies

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“…These differences affect investor behavior in Asia-Pacific markets. Opaque information disclosure and government regulation make investors inclined to make decisions according to macroeconomic information (see Lao and Singh, 2011). This may be the reason to herd in emerging markets.…”

Section: Introductionmentioning

confidence: 99%

Herding Behavior during the Subprime Mortgage Crisis: Evidence from Six Asia-Pacific Stock Markets

Laih¹,

Liau²

2013

IJEF

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This study examines herding behavior in six Asia-Pacific stock markets, namely, Taiwan, China, South Korea, Singapore, Hong Kong, and Japan, during a period of turmoil, particularly the latest subprime mortgage crisis. We find no evidence of herding in the stock markets of Singapore and Hong Kong, and only partial evidence of herding in the stock markets of South Korea and Japan. However, we document significant evidence of herding in the stock markets of Taiwan and China. This result suggests that herding is more pronounced in developing nations, where markets are dominated by individual investors and where daily price limits are observed. Furthermore, we empirically verify and visually corroborate the comparative co-movement behavior between markets with respect to the "home bias reflection hypothesis" and the degree of market openness. Finally, we find apparent herding behavior in a rising market state and during post-crisis period.

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“…Chiang and Zheng (2010) show evidence of herding in advanced stock markets in the U. S. and Asia but no evidence of herding in Latin American countries. More recently Lao and Singh (2011) find stock market herding in China and India.…”

Section: ⅲ a Brief Literature Reviewmentioning

confidence: 99%

Herding in Large Cap Stocks during Bull Markets: Evidence from Dow Jones Industrial Stocks

Kang¹,

Pyun²

2014

Glob Bus Financ Rev

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A B S T R A C TWe investigate evidence of investor herding in individual component stocks of the Dow Jones Industrial Index. In the correlation analysis, all stocks show positive correlations between their price and trading volume changes. In the dummy regression, most stocks in their equal-and value-weights show strong herd behavior in the upper values relative to their moving average prices. In log-log regression, we find a diminishing marginal effect in the upper values of their moving average prices. We find that the greater the dispersion of a stock away from its moving average line, the stronger the evidence of true herding in the movement of its price and concomitant change in trading volume.

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Herding behaviour in the Chinese and Indian stock markets

Cited by 172 publications

References 27 publications

Applying an international CAPM to herding behaviour model for integrated stock markets

Applying an international CAPM to herding behaviour model for integrated stock markets

Herding Behavior during the Subprime Mortgage Crisis: Evidence from Six Asia-Pacific Stock Markets

Herding in Large Cap Stocks during Bull Markets: Evidence from Dow Jones Industrial Stocks

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