AN EMPIRICAL INVESTIGATION HERDING BEHAVIOR IN STOCK MARKETS: A CASE STUDY OF CHINA

This research study investigates the presence of herding behavior in the Shanghai stock exchange (SSE) China. For this purpose, we use daily data of 124 stocks listed in SSE. The data ranges from June 1st, 2006 to May 31st, 2017. We used a linear regression model to investigate the presence of herding anomaly. Herding anomaly exists in SSE which endorses the fact that SSE does not follow the efficient market hypothesis (EMH). Moreover, we also investigated the presence of herding during extreme tails of low and high market conditions and found evidence of herding prevalence extreme tails of 5%.