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Herding, Market Fundamentals and Short Selling: Evidence from Hong Kong
Lam, Keith S. K.; Qiao, Zhuo
2012
Conference Namethe 20th Conference on the Theories and Practices of Securities and Financial Markets
Source PublicationProceedings of the Theories and Practices of Securities and Financial Markets
Conference Date7-8,December 2012
Conference PlaceKaohsiung, Taiwan
Abstract

We examine both market herding and industrial herding in the Hong Kong stock market. Our results find evidence that industrial herding occurs in the second and third sub-periods. The introduction of short selling activities in the third sub-period increases herding activity and changes herding to a short-term activity. We find herding in the up-market, high trading volume, and high and low trading volatility states after controlling for past CSAD and CSAD volatility. In addition, industrial herding remains while market and size herding disappear after short selling is introduced in 1993. Consistent with the literature, we find that investors do not herd on market/industry and systematic factors at the same time.

KeywordMomentum And Liquidity Factors Industrial Herding Csad Fundamental Factors Fama-french Factors Short Selling
DOI10.2139/ssrn.1911773
Language英语
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Citation statistics
Document TypeConference paper
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
AffiliationUniversity of Macau
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Lam, Keith S. K.,Qiao, Zhuo. Herding, Market Fundamentals and Short Selling: Evidence from Hong Kong[C],2012.
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