Informational Cascades, Financial Reporting, and Herding Intensity : Evidence from the Chinese Stock Market

This paper empirically investigates the dynamics of herding intensity in the stock market, focusing on further exploring the role of informational cascades and event uncertainty in herding formation. Our empirical results based on the data from China document that, consistent with the theoretical prediction of information-based herding and cascades, there appears to be a seasonality of herding intensity. Herding among investors becomes more intense around the period of annual financial reporting and disclosures, with a more substantial likelihood of an increase in herding intensity in a down market