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The impact of idiosyncratic volatility on the investors' herd behavior in the Chinese Stock Market
This study provides a comprehensive study of herding behavior in the Chinese Stock Market using the cross-sectional absolute deviation of returns method (CSAD) proposed by (Chang et al., 2000), which captures the non-linearity relationship between the dispersion of individual returns and market return. According to (Christie & Huang, 1995) and (Chang et al., 2000), in a stock market, herding behavior occurs when individual returns begin to converge towards the consensus of the market, leadingdoi:10.5281/zenodo.7250179 fatcat:ocxujarjjjdovppxmx2fx2qm74