| Summary: | 碩士 === 輔仁大學 === 金融研究所 === 85 === Most researches on mutual funds in Taiwan focus on whether there exist herding or trend following behavior, not on the reasons behind those behavior. Thus, this study tries to find the preference of Taiwan open-end equity fund to domestic stock based on Falkenstein (1996) and tests whether there is trend following by mutual funds.
Cross-section and panel data of 1995 and 1996 are employed on the empirical analysis. MLE and OLS are used to extimate the tobit model (censored model). The empirical results are summarized as follows: (1) Based on the cross-section analysis, mutual funds prefer the stock with high market value and earning per share (EPS). Based on the analysis of panel data, mutual funds display a strong preference towards stocks with high beta, liquidity (volume as a percentage of shares outstanding), size, and EPS. Also, they tend to prefer stocks which were listed on the exchange later to others. (2) Based on the cross-section analysis, the return has a influence on mutual fund sector''s percentage ownership of a particular security. However, when other preference variables are included, the influence of retrun would be less significant during some terms. It means that when testing for herding or trend following, we should take other related variables into consideration in order to a more precise conclusion.
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