By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding …

This paper proposes a Markov-Switching (MS) test of herding behavior in China's segmented stock markets under a regime … Kong dollars), we estimate an MS model of stock return dispersions to discern whether herding behavior exists under … herding behavior is asymmetric, observed during the high and crash volatility periods only. We also find significant cross …

The paper reports new evidence of herding in the Chinese A-type and B-Type markets by employing non-parametric kernel … regression. We find statistically significant evidence of herding in A-type market under both extreme high and low market returns …. Herding in B-type market, which predominantly consists of foreign investors, indicate only week evidence of herding. We do not …

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 in China. It is shown that analyst recommendation, short-term investor … horizon, and risk are the principal causes of herding. However, we cannot find evidence that relates herding to firm size, nor …