Intraday Herding on Cross-Listed Stocks Spillover and Abnormal Return

Abstract

This paper studies investors herd behavior on firms cross-listed in markets with different legislative regimes and levels of sophistication and yet within the same country. In addition to evidence of herding in each of China's Shanghai, Shenzhen and Hong Kong markets, our finding suggests cross market information spillover in herding formation. More importantly, abnormal return can be obtained through herding in some industries and firm sizes. This is important for participants in these stock markets who can trade these cross-listed stocks to earn abnormal profit in one market based on herding in another market through the spillover effect.