Hou, Tony Chieh-tse
[Verfasser:in]
;
McKnight, Phillip J.
[Sonstige Person, Familie und Körperschaft];
Weir, Charlie
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 15, 2011 erstellt
Beschreibung:
This paper analyzes the trading activity of Taiwanese open-end equity mutual fund herding behaviour over the period of 1996 to 2008. We employ the herding measure suggested by Wermers (1999) and find strong evidence of both directional and directionless herding activities, and also of positive feedback trading by mutual fund managers in Taiwan. Our results show a stronger tendency to herd among growth stocks, along with a high level of sell-side herding in value stocks. Moreover, we also find the importance of turnover ratio and price-earnings ratio in determining the directional herding activities. Finally, consistent with previous studies, we find this herding behaviour neither destabilises nor stabilises to stock prices