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Dynamic Correlation Analysis of Chinese Stock
Is There Herding Behavior in Chinese Stock Markets? An Examination
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A-share A-share and B-share adjust to information Asian crisis asymmetric effects B-share investors B-share markets B-share prices Chen Chinese markets Chinese stock market composite index correlation coefficients Cross-Sectional Absolute Deviation CSAD DCC model dividend yield domestic investors Drexel University dual listed dummy variable Dynamic Correlation empirical equation estimated coefficients estimation results evidence examine excessively high excessively low Financial Economics firms foreign investors Herd Index herding behavior herding behavior exists hypothesis indicates individual stocks Insert Table investment Journal of Finance lagged returns market capitalization market fundamentals market goes market return Market Segmentation Number of Listed number of shares Panel portfolio price adjustment price differentials purchase B shares return volatility risk Section SHA SHB SZA Shanghai and Shenzhen Shanghai Stock Exchange SHB SZA SZB Shenzhen A markets Shenzhen Stock Exchange significance level speed of adjustment statistically significant Stock Prices SZA SZB SHA time-varying correlation coefficients U.S. dollars variance