Internet postings and investor herd behavior: evidence from China’s open-end fund market

Abstract

The popularity of social media facilitates the dissemination of private information, which has significant implications for investors’ behavior and market efficiency. This paper examines the dynamic dependence between internet postings and herd behavior in China’s open-end fund market by applying the DCC-GARCH and TVP-SV-VAR models. The results show that the relationship between internet postings and herd behavior is time-varying and asymmetric. Specifically, internet postings have a negative effect on herd behavior, and the effect is more pronounced in the short term. Additionally, herd behavior will increase postings and further weaken the herding effect through the internet postings channel. Our results also show that the increase and decrease of postings have asymmetric effects on herd behavior, and the increase of postings has a greater effect on herd behavior.