This paper proposes a Markov-Switching (MS) test of herding behavior in China's segmented stock markets under a regime-changing environment. Using firm-level data on the A-shares (denominated in Chinese Renminbi) and B-shares (denominated in U.S. and Hong Kong dollars), we estimate an MS model...

This paper examines the presence of herd formation in Chinese markets using both individual firm- and sector-level data.We analyze the behavior of return dispersions during periods of unusually large upward and downward changes in the market index. We also distinguish between the Shanghai and...

We examine whether equity return dispersion, measured by the cross-sectional standard deviation of stock returns, is systematically priced in the cross-section of stock returns in China. We find that return dispersion carries a positive price of risk even after controlling for market, size,...

Purpose – The purpose of this paper is to provide an introduction to the special issue on employee behavior in China. It aims to highlight the importance of advancing theory and research on the topic, and to suggest that many of our theories are underdeveloped because they do not consider the...