Market Participation Willingness and Investor’s Herding Behavior: Evidence from an Emerging Market

With the newly emerged dataset on investors’ willingness to participate into the stock market, this paper gives the first empirical evidence on the impacts of the market participation on investors’ herding behavior in Chinese stock market. The empirical results mainly show that: (1) investors’ market participation willingness is positively related to investors’ herding behavior; (2) the herding behavior is more pronounced in the periods of investors’ market participation willingness is high and rising; and (3) these impacts are more pronounced in the period from April 1, 2012 to March 9, 2016. Generally speaking, our results indicate the interdependence between investor trading behavior and online sentiment.