Herding behavior in the Chinese stock market and the impact of COVID-19

We analyze herding behavior in the Chinese stock markets context of COVID-19 pandemic using cross-sectional absolute deviation (CSAD) model proposed by Chang et al. (2000) to detect time period between January 30, 2001, and June 12, 2020. consider prices for all firms listed (A-shares) on Shanghai Stock Exchange (SHSE) Shenzhen (SZSE) China. report presence during under study that becomes stronger after December 31, 2019 (the event date). also activity potential asymmetries market return volatility states. The results show when is high low, there a more predominant trend. Our do not depend different windows. Results change time-varying coefficients are considered rolling regressions. Other control variables which may be relevant explaining CSAD included estimations.