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FINANCIAL ECONOMICS

Chinese stock market volatility and herding behavior asymmetry during the COVID-19 pandemic

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Article: 2203436 | Received 14 Nov 2022, Accepted 12 Apr 2023, Published online: 17 Apr 2023

Figures & data

Table 1. Descriptive statistics

Table 2. Stationarity tests

Figure 1. Scatter plot and fitting curve.

Figure 1. Scatter plot and fitting curve.

Table 3. Regression results of herding behavior before and during COVID-19

Table 4. Impact of herding behavior on market volatility

Table 5. Regression results in bear and bull markets

Table 6. Order of autoregressive model—information criterion

Figure 2. Time trends of CSAD.

Figure 2. Time trends of CSAD.

Table 8. Threshold GARCH model

Table 7. OLS vs. E-GARCH models