Time-varying herding behavior, global financial crisis, and the Chinese stock market

Susan Sunila Sharma, Paresh Narayan, Kannan Thuraisamy

Research output: Contribution to journalArticleResearchpeer-review

28 Citations (Scopus)


In this paper, we examine the evidence of herding behavior on the Chinese stock market. Our main findings are as follows. First, we find strong evidence of herding behavior on both the Shanghai and Shenzhen stock exchanges. Second, we document evidence of asymmetric herding behavior with greater magnitude of herding behavior on up markets than on down markets. Third, our findings suggest that herding behavior is sector-specific and predominant in the industrial and properties sectors. Finally, we unravel strong evidence suggesting that herding behavior is time-varying and in some sectors time-varying herding behavior is more prevalent than in other sectors.

Original languageEnglish
Article number1550009
Number of pages31
JournalReview of Pacific Basin Financial Markets and Policies
Issue number2
Publication statusPublished - 26 Jun 2015
Externally publishedYes


  • Herding behavior
  • markets
  • sectors
  • time-varying

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