This study modifies the cross-sectional absolute deviation of returns (CSAD) of Chang, Cheng and Khorana’s (2000) by adding trading volume variable and find significant evidence of herding in the Hong Kong stock market using daily data. Specifically, higher trading volume induces more herding. Moreover, while proven as a long-lived phenomenon, herding cannot generate positive market returns. On the other hand, positive market returns are the basis of herding. In addition, there is no evidence supporting the notion of cross-market herding information between the Hong Kong stock market and the Chinese stock market. However, the return information from one market will influence the herding behavior on another market. We add to the literature of herd behavior by introducing trading volume to explaining the CSAD.