Proceedings of the 2018 2nd International Conference on Education Science and Economic Management (ICESEM 2018)

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
https://doi.org/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/).

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Volume Title
Proceedings of the 2018 2nd International Conference on Education Science and Economic Management (ICESEM 2018)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
August 2018
ISBN
978-94-6252-557-3
ISSN
2352-5398
DOI
https://doi.org/10.2991/icesem-18.2018.289How to use a DOI?
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  - https://doi.org/10.2991/icesem-18.2018.289
ID  - Chen2018/08
ER  -