Herding in Chinese stock markets: Evidence from the dual-investor-group

Liu, Tengdong; Zheng, Dazhi; Zheng, Suyan; Yang, Ling

doi:10.1016/j.pacfin.2023.101992

Cited by 5 publications

(2 citation statements)

References 53 publications

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“…Finally, foreign investors' net demand had significant effects both before and after the market reform in 2012 (Venkatesh et al 2021), whereas domestic individuals' net demand partially explains implied volatility dynamics only after the reform (Ryu et al 2022). Ali et al (2023), in their study, examined investors' overall trading behavior during the COVID-19 period and supported the wellknown persistence of investor trading, while findings also supported positive-feedback trading by foreign institutional investors and negative-feedback trading by individual retail investors. To demonstrate how the COVID-19 situation affects stock market return volatility in different countries, the article provides evidence that institutional investors profited from the negative bubble from March to April 2020, whereas foreign institutional investors liquidated at negative bubble levels (Ali et al 2023).…”

Section: Review Of the Literaturementioning

confidence: 80%

Investment Behavior of Foreign Institutional Investors and Implied Volatility Dynamics: An Empirical Study on the Indian Equity Derivatives Market

Sharma,

Bhatia,

Roy

2023

JRFM

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The aim of this study is to examine the association between the capital flows of foreign institutional investors (FIIs) in the equity derivatives market in India and the implied volatility of options. Previous studies on FIIs and realized volatility in the equity market provide the basis for this study. Covering a period of ten years (2012–2021), this study established the importance of FII capital flows in explaining the implied volatility of options. The Granger causality test confirms the unidirectional flow of causality between FII and implied volatility (VIX) in the Indian stock market. The vector autoregression model developed in the study confirms the dynamic relationship between implied volatility and the investment behavior of foreign institutional investors (FIIs). The outcome of this study will help options traders to understand the mispricing of options because of FII’s buying pressure on implied volatility. The results will also help policymakers understand how institutional investors influence option pricing so that appropriate decisions can be made.

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Section: Review Of the Literaturementioning

confidence: 80%

Investment Behavior of Foreign Institutional Investors and Implied Volatility Dynamics: An Empirical Study on the Indian Equity Derivatives Market

Sharma,

Bhatia,

Roy

2023

JRFM

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“…When positive news regarding green investments spreads, it can trigger herd behavior, leading to increased investor demand and potentially driving up prices in green sectors . Conversely, negative news can exacerbate herd behavior, leading to panic selling and market downturns (Liu et al, 2017). Therefore, understanding the impact of news information on both green investment decisions and herd behavior is essential for policymakers, investors, and market regulators in promoting sustainable finance and ensuring market stability.…”

Section: B News Information and Herding Behaviourmentioning

confidence: 99%

A Mediating Effect of News Information on the Driver of Green Investment and Herding Behaviour in China's A-Share Market

Faxing

2024

DREAM

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In recent years, the surge in interest and investment towards environmentally sustainable initiatives, particularly in emerging economies like China, has garnered significant attention. This paper investigates the intricate dynamics between green investment drivers, herd behaviour, and the mediating role of news information in China's A-share market. Drawing upon a comprehensive dataset spanning the recent years, this study employs advanced statistical techniques, including structural equation modelling, to analyse the relationships between the aforementioned variables. Firstly, it examines the primary drivers behind green investment in China, considering factors such as regulatory policies, corporate social responsibility initiatives, and market demand for sustainable products and services. Subsequently, the paper delves into the phenomenon of herd behaviour within the A-share market, exploring how investor decisions are influenced by the actions of others rather than fundamental market indicators. This aspect is particularly pertinent in the context of green investment, where social proof and conformity may play a significant role in shaping investment decisions. Moreover, the study elucidates the mediating effect of news information in this relationship. News media serves as a critical intermediary, disseminating information about regulatory changes, corporate sustainability initiatives, and market trends, which in turn influence investor sentiment and decision-making processes. By uncovering the mediating role of news information, this research provides valuable insights into the mechanisms driving green investment and herd behaviour in China's A-share market. Understanding these dynamics is crucial for policymakers, market participants, and sustainability advocates alike, as they seek to promote environmentally responsible investment practices and mitigate the adverse effects of herd behaviour on market stability and efficiency. Overall, this paper contributes to the growing body of literature on sustainable finance and behavioural economics by shedding light on the complex interplay between green investment drivers, herd behaviour, and the role of news information in shaping investor decisions in China's rapidly evolving financial landscape.

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Rule improvements and irrational characteristics of herd behaviour–The effects of SMT policy

Liu

Lin

2023

Finance Research Letters

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Herding in Chinese stock markets: Evidence from the dual-investor-group

Cited by 5 publications

References 53 publications

Investment Behavior of Foreign Institutional Investors and Implied Volatility Dynamics: An Empirical Study on the Indian Equity Derivatives Market

Investment Behavior of Foreign Institutional Investors and Implied Volatility Dynamics: An Empirical Study on the Indian Equity Derivatives Market

A Mediating Effect of News Information on the Driver of Green Investment and Herding Behaviour in China's A-Share Market

Rule improvements and irrational characteristics of herd behaviour–The effects of SMT policy

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