This paper develops a new market sentiment index for the Hong Kong stock market, one of the largest stock market in the world. The components of the sentiment measure include the turnover ratio, short-selling volume, money flow, HIBOR and return of the U.S. and Japanese markets. We also include...

This paper examines the causes of herd behavior in the Chinese stock market. Using the non-linear model of Chang, Cheng and Khorana (2000), we find robust evidence of herding in both the up and down markets. We contribute to the existing literature by exploring the underlying reasons for herding...