Does Herding Affect Volatility? Implications for China’s Stock Market
Authors
Yi-Chang Chen, Yixuan Fu, Yuwen Yang, Yitian Chen
Corresponding Author
Yi-Chang Chen
Available Online August 2018.
- DOI
- 10.2991/icesem-18.2018.289How to use a DOI?
- Keywords
- Volatility; Herding behavior; GARCH; Financial crisis
- Abstract
Behavior biases affect investors’ financial decisions in many ways such as herding behavior, which is the tendency for individuals to mimic the actions of a larger group. The purpose of the paper is to examine whether the herding causes volatility using daily data in Shanghai composite index. The results confirm that herding behavior makes a great influence on stock price volatility and a stable stock market based on the GARCH model in the periods of financial crisis of 2008 to 2010. The evidence indicates the effect is associated with market conditions, investors’ expectation, regulated market, and stock market co-integration.
- Copyright
- © 2018, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Yi-Chang Chen AU - Yixuan Fu AU - Yuwen Yang AU - Yitian Chen PY - 2018/08 DA - 2018/08 TI - Does Herding Affect Volatility? Implications for China’s Stock Market BT - Proceedings of the 2018 2nd International Conference on Education Science and Economic Management (ICESEM 2018) PB - Atlantis Press SP - 1238 EP - 1242 SN - 2352-5398 UR - https://doi.org/10.2991/icesem-18.2018.289 DO - 10.2991/icesem-18.2018.289 ID - Chen2018/08 ER -