Article: Herding behaviour and investor's sentiment: evidence from the Chinese Stock Market Journal: International Journal of Behavioural Accounting and Finance (IJBAF) 2023 Vol.7 No.1 pp.55 - 85 Abstract: Using monthly data, this study analyses the effect of investors' sentiment on herding behaviour. This study uses C.I.C.S.I Index as a proxy of investors' sentiment in the Chinese Stock Market. The finding provides no empirical evidence of the existence of herding propensity in the Chinese Stock Market covering the whole period from 2003 to 2018 and overall sub-periods including pre-financial crisis (BFC), during financial crisis (FC), and post-financial crisis (AFC), which is consistent with the idea that herding behaviour is a short-lived phenomenon (Christie and Huang, 1995). However, when conditioning herding on investors sentiment, herding intensity is more evidenced within the Chinese A-shares market, where individual investors are the major traders, implying that herding within the Chinese A-shares market is a long-lived phenomenon. Finally, this study documents that herding exists in the Chinese Stock Market and varies with levels of investors' sentiment, market trends and sub-periods. Furthermore, the finding provides supplementary evidence that the level of investors' sentiment is a significant aspect in identifying different herding trends among individual investors. Inderscience Publishers - linking academia, business and industry through research

Title: Herding behaviour and investor's sentiment: evidence from the Chinese Stock Market

Authors: Nait Bouzid Khalil; Rabiai Sara; Inariten Soraya; Bakri Widad

Addresses: Faculté des Sciences de Gestion-ISIAM, Université Internationale d'Agadir, Agadir, 80060, Morocco ' Ecole de Gestion et de Commerce EGC, Université Privée de Marrakech UPM, Marrakech, 42312, Morocco ' Ecole Nationale de Commerce et de Gestion, ENCG d'Agadir, Laboratoire de Recherche EMAPES, Agadir, 80650, Morocco ' Faculté des Sciences de Gestion-ISIAM, Université Internationale d'Agadir, Agadir, 80060, Morocco

Abstract: Using monthly data, this study analyses the effect of investors' sentiment on herding behaviour. This study uses C.I.C.S.I Index as a proxy of investors' sentiment in the Chinese Stock Market. The finding provides no empirical evidence of the existence of herding propensity in the Chinese Stock Market covering the whole period from 2003 to 2018 and overall sub-periods including pre-financial crisis (BFC), during financial crisis (FC), and post-financial crisis (AFC), which is consistent with the idea that herding behaviour is a short-lived phenomenon (Christie and Huang, 1995). However, when conditioning herding on investors sentiment, herding intensity is more evidenced within the Chinese A-shares market, where individual investors are the major traders, implying that herding within the Chinese A-shares market is a long-lived phenomenon. Finally, this study documents that herding exists in the Chinese Stock Market and varies with levels of investors' sentiment, market trends and sub-periods. Furthermore, the finding provides supplementary evidence that the level of investors' sentiment is a significant aspect in identifying different herding trends among individual investors.

Keywords: herding behaviour; investor's sentiment; Chinese Stock Market; sub-periods analysis; CSAD; cross-sectional absolute deviation of returns.

DOI: 10.1504/IJBAF.2023.131657

International Journal of Behavioural Accounting and Finance, 2023 Vol.7 No.1, pp.55 - 85

Received: 02 Jul 2022
Accepted: 26 Apr 2023
Published online: 21 Jun 2023 *

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Title: Herding behaviour and investor's sentiment: evidence from the Chinese Stock Market

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