The Study of the Phenomenon and the Causes of Herding Behavior in Mutual Fund in Taiwan

• Main Authors: Chun-Chi Lin, 林雋琦
• Other Authors: Chun-An Li
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/99052383214477809395

碩士 === 國立雲林科技大學 === 企業管理系碩士班 === 89 === The investment behavior of investors in stock market is an important issue in financial economic. Most of the related documents almost assume that the investors are rational when they are engaged in the stock transaction. However, this point of view has been strongly queried after the market crash in the recent years. And the herding phenomenon of investors has caught the most attention. As the relating researches of herding phenomenon are inclined to support that investors of the stock market do have this phenomenon in; however, the causes of this phenomenon stay only on the theoretical level. As a result, the study in accordance with stocks price fluctuated individually and the transaction of mutual funds takes Taiwan’s mutual funds as the subject, and select 56 mutual funds which invest in the local market. The transaction information from September 1995 to August 2000 are used and we take the CSSD、CSAD、LSV and M indexes as measure of herding . VAR is then used to analysis the degree of influence and the time lag relationship to exam the phenomenon and causes of herding behavior in local mutual fund industry. After the empirical analysis, we find: 1.Local stock market has the return concentration phenomenon which indicates that stock prices are simultaneous up or down. This is most obvious in bearish market. 2.The mutual funds in local stock market has the herding behavior of concentrating on simultaneous the stock in the buyer of seller side. 3.The mutual funds in local stock market present momentum phenomenon. It means that fund buy past winners and divest past losers. This is most obvious in bullish market. 4.In a broader aspect, there is the herding behavior to react according the information-based cascade in local mutual funds industry. 5.There is the herding behavior of the mutual fund industry in local market to depend on the relative reputation.