Social and Behavioral Sciences Commons^™

Herding Evidence In Chinese Stock Market : A Study Of The Relationship Between Stock Price Index And Trading Volume Based On Behavioral Finance Theory, Xiaofeng Zhao

Lingnan Journal of Banking, Finance and Economics

Over the last couple decades, more evidence has been found supporting the notion that investors are not always rational. Herding behaviors have been observed in both the stock market crash1 and financial bubbles2, which were beyond the understanding of modern finance theory. In this paper, the herding phenomenon was explored in the Chinese stock market by the study of the relationship between stock prices and trading volume over the past 7 years. It was found that the change of price is statistically significant to have caused the change of trading volume, but the reverse is not true. Theoretically, this identifies …