The Herding Behavior in Chinese Stock Markets: Evidence from A-Share Markets during COVID-19
| dc.contributor.author | Zheng, Zhensong | |
| dc.contributor.copyright-release | Not Applicable | en_US |
| dc.contributor.degree | Master of Science | en_US |
| dc.contributor.department | Business | en_US |
| dc.contributor.ethics-approval | Not Applicable | en_US |
| dc.contributor.external-examiner | n/a | en_US |
| dc.contributor.graduate-coordinator | Hamed Aghakhani | en_US |
| dc.contributor.manuscripts | Not Applicable | en_US |
| dc.contributor.thesis-reader | Iraj Fooladi | en_US |
| dc.contributor.thesis-reader | Yonggan Zhao | en_US |
| dc.contributor.thesis-supervisor | Gregory Hebb | en_US |
| dc.date.accessioned | 2021-12-14T17:15:40Z | |
| dc.date.available | 2021-12-14T17:15:40Z | |
| dc.date.defence | 2021-12-10 | |
| dc.date.issued | 2021-12-14T17:15:40Z | |
| dc.description | This paper selects all the trade stock list in the Shanghai A-shares (SHA) and Shenzhen A-shares (SZA) as the research object to analyze the overall market of herding behavior. It further investigate whether herding exhibits asymmetric effects associated with market returns under different industries. In addition, to detect herding behavior under extreme market conditions caused by a pandemic, I compared the pre-COVID-19 and post-COVID-19 periods to learn about herding behavior in Chinese stock markets and understand investment behavior under these conditions. The present study focuses on herding behavior among investors during the pandemic. This study can enrich the literature about investment behavior in the Chinese stock market, particularly the impacts on investment behavior under COVID-19. | en_US |
| dc.description.abstract | This paper studies the presence of herding behavior in Chinese A-share markets using both individual firm and industry-level data before and after the pandemic. Using a sample of all firms listed over the period 10/08/2018 to 09/30/2021, I distinguish between the Shanghai and Shenzhen stock exchanges and find that herding behavior does not exist in overall Chinese A-share markets. However, comparing return dispersions for rising and declining market in different industries, I observe that investors exhibit different levels of herding behavior. I find evidence that COVID-19 increases herding behavior on the Shanghai and Shenzhen stock markets. The results report that herding behavior manifests during upward market movement. The results are important for investors and regulators to increase their understanding of stock markets. Moreover, studying herding behavior can be useful in controlling for financial risk. | en_US |
| dc.identifier.uri | http://hdl.handle.net/10222/81081 | |
| dc.language.iso | en | en_US |
| dc.subject | COVID-19 | en_US |
| dc.subject | Herding Behavior | en_US |
| dc.subject | Behavioral Finance | en_US |
| dc.title | The Herding Behavior in Chinese Stock Markets: Evidence from A-Share Markets during COVID-19 | en_US |
| dc.type | Thesis | en_US |
| dc.type | Text | en_US |