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

Hung, Weifeng; Lu, Chia Chi; Lee, Cheng F.

doi:10.1016/j.pacfin.2010.06.001

Cited by 58 publications

(45 citation statements)

References 25 publications

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“…In addition, Wermers (1999) and Hung et al (2010) find herding amongst smaller stocks. BM is the book to market ratio defined as book to market value of the equity at time t Wermers (1999) and Hung (2010) report that funds sell overvalued shares and buy undervalued shares. We use two measures of information uncertainty.…”

Section: Resultsmentioning

confidence: 99%

“…In the early 1990's the Taiwanese government adopted a more flexible attitude to foreign investors by permitting Qualified Foreign Institutional Investors (QFII) to invest directly in Taiwan The rapidly growing Taiwanese economy with its increasingly important mutual fund sector has received relatively little attention. Hung et al (2010) find that mutual funds tend to follow their own trades rather than follow those of other funds. This paper uses the Lakonishok et al (1992) and Wermers (1999) methodologies to analyse herding within a specific time period.…”

Section: Taiwan 1 Introductionmentioning

confidence: 87%

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The impacts of stock characteristics and regulatory change on mutual fund herding in Taiwan

Hou

McKnight

Weir

2014

Applied Financial Economics

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Section: Resultsmentioning

confidence: 99%

Section: Taiwan 1 Introductionmentioning

confidence: 87%

The impacts of stock characteristics and regulatory change on mutual fund herding in Taiwan

Hou

McKnight

Weir

2014

Applied Financial Economics

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“…Furthermore, in order to find the detailed differences among the subgroups, that could be otherwise undetected; we adopted post-hoc analysis. Post hoc test is designed for situations in which the researcher has already obtained a significant omnibus F-test with a factor that consists of three or more means and additional exploration of the differences among means is needed to provide specific information on which means are significantly different from each other (Hung, Lu, & Lee, 2010).…”

Section: Methodsmentioning

confidence: 99%

Investment Strategies of Different Holding Periods: Evidence from Stock Markets of Hong Kong, Korea, Shanghai, and Taiwan

Moslehpour

Batmunkh

2013

Business and Economic Research

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Although there is abundant research focusing on estimating the level of returns on stock market, there is a lack of studies examining the comparison of stock return movements for short-term and long-term investment in the Asian stock market. The present study examines return on investment of different holding periods among selected stock markets in Asia. Based on the trading performance of key indices and market capitalization value, Korean Stock Exchange (KRE), Shanghai Stock Exchange (SSE), Hong Kong Stock Exchange (HKSE), and Taiwan Stock Exchange (TWSE) were selected for this study. In assessing the comparative output of the case stock markets, this study used ANOVA and post-hoc analysis to process time series data of daily, monthly, quarterly, semiannually and annually return of investments of indices of the case stock markets. The results of this study showed that there are significant differences in return on investment among the case stock markets in the given holding periods. While a country might have a higher return in short-term investment, it may not necessarily be suitable for long-term investment as evidenced by their performance from 2001 to 2012.

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“…However, in order to capture differences of traders behaviors, another group of researchers found weak evidence of herding for the correlation between individuals and aggregate stock returns and trading volume (e.g. Wermers, 1999;Hung, Lu, & Lee, 2010;Venezia, Nashikkar, & Shapira, 2011). A third group of studies investigated herding behavior among foreign investors on emerging markets and reported no evidence of herding (Walter & Weber, 2006;Uchida & Nakagawa, 2007;Barber, Terrance, & Zhu, 2010).…”

Section: Literature Reviewmentioning

confidence: 99%

Asymmetric Effects and the Herd Behavior in the Australian Equity Market

Al-Shboul¹

2012

IJBM

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The purpose of this paper is to investigate whether Australian stock investors do herd. A sample of the largest 251 Australian listed firms is employed from the beginning of 2003 until the end of 2010 on daily and monthly basis. When the CH approach is used, no evidence of herd behavior for the daily and the monthly return series of AOI and S&P300 indices is reported. However, the application of the CCK provides better results than those obtained by the cross-sectional stock price's model developed by CH. According to CCK, in normal conditions, the conditional CAPM specifies a linear relationship between CSAD and market returns. However, if herding occurs during periods of market stress, then a nonlinear relationship will also exist. To accommodate for the possibility that the degree of herding may be asymmetric in the up and the down markets, the CCK approach is applied by examining the nonlinear relationship between CSAD and market returns. Evidence of herding is found in the up and the down markets for both indices. This indicates that Australian investors exhibit asymmetric herding with respect to financial crisis, while they do not exhibit asymmetric herding in terms of fundamentals. Findings show evidence of herding asymmetry created by trading volume only in high volume state for both indices returns. However, in high volatility state, evidence of asymmetric herding is found for only the AOI monthly returns. This suggests that Australian investors remain in showing herding activities on daily and monthly basis and are affected by the decisions of investors in foreign markets of the US, the UK and China.

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

Cited by 58 publications

References 25 publications

The impacts of stock characteristics and regulatory change on mutual fund herding in Taiwan

The impacts of stock characteristics and regulatory change on mutual fund herding in Taiwan

Investment Strategies of Different Holding Periods: Evidence from Stock Markets of Hong Kong, Korea, Shanghai, and Taiwan

Asymmetric Effects and the Herd Behavior in the Australian Equity Market

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