Herd Behavior and Rational Expectations: A Test of China’s Market Using Quantile Regression

Yi-chang CHEN; Hung-che WU; Jen-jsung HUANG

Makale detayları

Herd Behavior and Rational Expectations: A Test of China’s Market Using Quantile Regression

Yazarlar:

Yi-chang CHEN | Hung-che WU | Jen-jsung HUANG

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2017 Vol.7 Issue 2, pp.649-663

Belge Tipi:

Makale

Yayın Tarihi:

5/2017

Belge Dili:

Türkçe

Document ID (Org No.):

2000811942

Sıklık:

İki Aylık

eISSN:

2146-4138

Özet:

 

This paper aims to examine whether the changes of the rational expectations of a tendency to herd among investors under different market conditions in China’s market. We find that herding remains scarce during periods of market tumult. Also, herd behavior is more pronounced under rising market conditions. The results indicate that investors show different levels of rational expectations; in particular, herding strongly exists in irrational expectations. The asymmetric information effect exists in market conditions and the reactions to both fundamentals and non-fundamentals. There is no evidence of herding spillover effect from the US stock market to China’s market. In spite of investors facing the financial crisis and external effects simultaneously, they still tend to follow the market consensus. This paper claims that investors’ herd behavior may be obviously different due to the effectiveness of regulation, information efficiency and market integrations.

Makale detayları

Herd Behavior and Rational Expectations: A Test of China’s Market Using Quantile Regression

Yazarlar: Yi-chang CHEN | Hung-che WU | Jen-jsung HUANG

Yayıncı: İlhan ÖZTÜRK

Dergi: International Journal of Economics and Financial Issues 2017 Vol.7 Issue 2, pp.649-663

Belge Tipi: Makale

Yayın Tarihi: 5/2017

Belge Dili: Türkçe

Document ID (Org No.): 2000811942

Sıklık: İki Aylık

eISSN: 2146-4138

Sayı

Yazarlar:

Yi-chang CHEN | Hung-che WU | Jen-jsung HUANG

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2017 Vol.7 Issue 2, pp.649-663

Belge Tipi:

Makale

Yayın Tarihi:

5/2017

Belge Dili:

Türkçe

Document ID (Org No.):

2000811942

Sıklık:

İki Aylık

eISSN:

2146-4138