Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis

This study examines the herding behavior of investors in Chinese stock markets. Using a least squares method, we find evidence of herding within both the Shanghai and Shenzhen A-share markets and no evidence of herding within both B-share markets. A-share investors display herding formation in both up and down markets. However, we cannot find herding activity for B-share investors in the up market. By applying quantile regression analysis to estimate the herding equation, we find supporting evidence of herding behavior in both A-share and B-share investors conditional on the dispersions of returns in the lower quantile region.