The abnormality of Chinese stock markets has attracted attention from many researchers and is not easy to explain by the traditional analysis based on average returns. This paper tries to analyze the Chinese stock market behavior in a different way. Instead of observing the daily returns, we study the presence of the “weekend effects” and “herding behavior” by the daily integrated stock volatility. The SSE Constituent Index and the Financials Index are used during the period of January 2008 and August 2009. We construct the confidence intrerval of the daily integrated volatility by using bootstrap method.The result shows that the highest volatility and the lowest volatility are observed on Wednesday and Monday respectively, and the difference of the volatility between Friday and Wednesday is not obvious. While the “weekend effect” is not significant, the result does suggest the existence of a partial “herding behavior”, which we name it as the “cautious herding behavior”.