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Herding and fundamental factors: The Hong Kong experience
Lam,Keith S.K.; Qiao,Zhuo
Source PublicationPacific Basin Finance Journal
ABS Journal Level2
AbstractWe examine both market herding and industrial herding in the Hong Kong stock market. Our results find evidence that herding occurs in both the first and second sub-periods. We also find herding in the up-market, high trading volume, and high and low trading-volatility states after controlling for CSAD volatility. In addition, industrial herding remains even when market and size herding disappear after 1993 when short selling and stock options were introduced. Consistent with the literature, we find that investors do not herd on market/industry and systematic factors at the same time.
KeywordCSAD Fama-French and liquidity factors Fundamental factors Industrial herding
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Cited Times [WOS]:16   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionUniversity of Macau
Corresponding AuthorLam,Keith S.K.
AffiliationDepartment of Finance and Business Economics,Faculty of Business Administration,University of Macau,,Macao
First Author AffilicationFaculty of Business Administration
Corresponding Author AffilicationFaculty of Business Administration
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GB/T 7714
Lam,Keith S.K.,Qiao,Zhuo. Herding and fundamental factors: The Hong Kong experience[J]. Pacific Basin Finance Journal,2014,32:160-188.
APA Lam,Keith S.K.,&Qiao,Zhuo.(2014).Herding and fundamental factors: The Hong Kong experience.Pacific Basin Finance Journal,32,160-188.
MLA Lam,Keith S.K.,et al."Herding and fundamental factors: The Hong Kong experience".Pacific Basin Finance Journal 32(2014):160-188.
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