Mutual fund herding its impact on stock returns: Evidence from the Taiwan stock market

Weifeng Hung, Chia Chi Lu, Cheng F. Lee

研究成果: 雜誌貢獻期刊論文同行評審

40 引文 斯高帕斯(Scopus)

摘要

Using quarterly ownership data which identify identity codes of mutual funds in Taiwan, we investigate mutual fund herding and its impact on stock price. We show that mutual funds tend to follow their own steps in trading rather than follow trades made by other funds. More importantly, evidence of price continuation following mutual fund herd buying suggests that such herding is based on value-relevant information and is consistent with the investigative herding hypothesis. Alternatively, evidence of return reversal following mutual fund herd selling suggests that such herding is non-informational and is consistent with the characteristic herding hypothesis.

原文???core.languages.en_GB???
頁(從 - 到)477-493
頁數17
期刊Pacific Basin Finance Journal
18
發行號5
DOIs
出版狀態已出版 - 11月 2010

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