Herd Behavior and Rational Expectations: A Test of China's Market Using Quantile Regression
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...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2017-04-01
|
| Series: | International Journal of Economics and Financial Issues |
| Online Access: | http://mail.econjournals.com/index.php/ijefi/article/view/4243 |
| _version_ | 1797911781438390272 |
|---|---|
| author | Yi-Chang Chen Hung-Che Wu Jen-Jsung Huang |
| author_facet | Yi-Chang Chen Hung-Che Wu Jen-Jsung Huang |
| author_sort | Yi-Chang Chen |
| collection | DOAJ |
| description |
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.
Keywords: Rational Expectations, Herd behavior, Asymmetric Information Effect, Spillover Effect
JEL Classifications: G14, G11, G02
|
| first_indexed | 2024-04-10T11:46:04Z |
| format | Article |
| id | doaj.art-4b74837a526147cf88c8785081b47bd1 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T11:46:04Z |
| publishDate | 2017-04-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-4b74837a526147cf88c8785081b47bd12023-02-15T16:17:21ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382017-04-0172Herd Behavior and Rational Expectations: A Test of China's Market Using Quantile RegressionYi-Chang ChenHung-Che WuJen-Jsung Huang 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. Keywords: Rational Expectations, Herd behavior, Asymmetric Information Effect, Spillover Effect JEL Classifications: G14, G11, G02 http://mail.econjournals.com/index.php/ijefi/article/view/4243 |
| spellingShingle | Yi-Chang Chen Hung-Che Wu Jen-Jsung Huang Herd Behavior and Rational Expectations: A Test of China's Market Using Quantile Regression International Journal of Economics and Financial Issues |
| title | Herd Behavior and Rational Expectations: A Test of China's Market Using Quantile Regression |
| title_full | Herd Behavior and Rational Expectations: A Test of China's Market Using Quantile Regression |
| title_fullStr | Herd Behavior and Rational Expectations: A Test of China's Market Using Quantile Regression |
| title_full_unstemmed | Herd Behavior and Rational Expectations: A Test of China's Market Using Quantile Regression |
| title_short | Herd Behavior and Rational Expectations: A Test of China's Market Using Quantile Regression |
| title_sort | herd behavior and rational expectations a test of china s market using quantile regression |
| url | http://mail.econjournals.com/index.php/ijefi/article/view/4243 |
| work_keys_str_mv | AT yichangchen herdbehaviorandrationalexpectationsatestofchinasmarketusingquantileregression AT hungchewu herdbehaviorandrationalexpectationsatestofchinasmarketusingquantileregression AT jenjsunghuang herdbehaviorandrationalexpectationsatestofchinasmarketusingquantileregression |