Can China’s cross-sectional dispersion of stock returns Cause or influence the herding behaviour of traders in other local markets and China’s trading partners?

• Main Authors: Chong, Oiping, Amin Noordin, Bany Ariffin, Matemilola, Bolaji Tunde, McGowan, Carl B.
• Format: Article
• Language: English
• Published: Elsevier 2020
• Online Access: http://psasir.upm.edu.my/id/eprint/88073/1/ABSTRACT.pdf; http://psasir.upm.edu.my/id/eprint/88073/; https://www.sciencedirect.com/science/article/pii/S1042443119302495#:~:text=Although%20China's%20cross%2Dsectional%20dispersion,to%20herd%20around%20its%20market.

This paper examines the influence of China’s cross-sectional dispersion of returns on local markets, as well as its major trading partners. With the cross-sectional average deviation method, we have reported some significant and insignificant results, as well as for tranquil and turbulent phases of...