The influence of mobile trading on return dispersion and herding behavior

•We propose a new empirical model for herding behavior.•Our approach is based on CAPM model and Fama-French three-factor model.•Our findings indicate that mobile trading make the market herd more.•The mobile effect is not driven by characteristic preferences or bubble and crash.•There exists differe...

Full description

Saved in:
Bibliographic Details
Published in:Pacific-Basin finance journal 2022-06, Vol.73, p.101767, Article 101767
Main Authors: Li, Zhuolei, Diao, Xundi, Wu, Chongfeng
Format: Article
Language:English
Subjects:
Factor model
Fintech
Herding behavior
Mobile trading
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:•We propose a new empirical model for herding behavior.•Our approach is based on CAPM model and Fama-French three-factor model.•Our findings indicate that mobile trading make the market herd more.•The mobile effect is not driven by characteristic preferences or bubble and crash.•There exists difference in traders’ composition before and after 2015-policy change. Combining behavioral finance and asset pricing theory, we propose a modified empirical model to examine equity return dispersion and herding behavior. We verify the effectiveness of risk factors in explaining market dispersion and study how mobile trading is related to market dispersion and herding behaviors. Our findings indicate that mobile trading would make the market herd more, and the effect is not driven by mobile traders’ characteristic preferences or the market bubble and crash. Besides, our results support a different composition of mobile traders after a policy change on trading accounts, and this difference leads to the opposite impact of mobile trading on return dispersion after 2015.
ISSN:0927-538X
1879-0585
DOI:10.1016/j.pacfin.2022.101767