The Comovement of Mutual Fund Holdings of Stocks

• Main Authors: Wei-Chiang Chen, 陳韋強
• Other Authors: Ming-Chin Lin
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/42562463360306171412

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 97 === In this study, we discuss the comovement of domestic electrical stocks which are the assets most mutual funds invest. We divided all samples into high and low mutual fund holdings to examine whether the comovement of individual stock with the market is significantly different between high and low mutual fund holdings, and further analyzing whether this comovement is arisen from the fundamental factors. As result of this study, we find that the comovements are not significantly different between high and low mutual fund holdings. Furthermore, the comovements of individual stocks with the market are influenced by shareholdings of foreign investors and dealers and the fundamental factors. We also examine this comovement whether to be explained by macroeconomic variables. We find macroeconomic variables, proxied by the interest rate spread between 30 days and 180 days of commercial papers and the leading indicators of growth rate, may significantly explain the comovement for low mutual fund holdings of stocks, but not significantly for high mutual fund holdings of stocks.