TITLE:
An Examination of Herding Behavior in Chinese A-Share Market by Cross-Sectional Absolute Deviation (CSAD)
AUTHORS:
Wendi Chen
KEYWORDS:
Herding Behavior, Chinese Stock Market, A-Share Market, Cross-Sectional Absolute Deviation
JOURNAL NAME:
Modern Economy,
Vol.11 No.4,
April
13,
2020
ABSTRACT: The study aims to test the
existence and the continuity of herding behaviour in Chinese A-share market by
the method called cross-sectional absolute deviation (CSAD). Herding behavior,
defined as individuals tend to follow others when making decision, has a large
impact on stock markets. The latest data from July 2016 to July 2019 in
Shanghai and Shenzhen A-share markets are used. The data are divided into both
three-year period and annual subperiod. The results indicate that there is a
lasting influence of herding behavior on these A-share markets during these
three years. Besides, the value of CSAD of Shenzhen A-share market is higher
than the one of Shanghai and both of them are shown in an increasing tendency
over the years. Future researches can explore more on this tendency, including
its verification and explanation.