The Impacts of Stock Characteristics and Regulatory Change on Mutual Fund Herding in Taiwan

Posted: 6 Dec 2013

See all articles by Tony Chieh-tse Hou

Tony Chieh-tse Hou

National Dong Hwa University

Phillip J. McKnight

University of Wisconsin - Milwaukee

Charlie Weir

Robert Gordon University - Aberdeen Business School

Date Written: November 1, 2012

Abstract

This paper analyzes the trading activity of Taiwanese open-end equity mutual fund herding behaviour over the period of 1996 to 2008. We find evidence of both directional and directionless herding. We also find that sell-side fund herding leads to price stabilization whereas buy side herding results in, prices adjusting slowly. We find that the abolition of Qualified Foreign Institutional Investor (QFII) has reduced directionless and sell side herding but has had no effect on buy side herding.

Keywords: herding; mutual fund; QFII; Taiwan

JEL Classification: G12; G14; G15

Suggested Citation

Hou, Tony Chieh-tse and McKnight, Phillip J. and Weir, Charlie, The Impacts of Stock Characteristics and Regulatory Change on Mutual Fund Herding in Taiwan (November 1, 2012). Applied Financial Economics, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2364253

Tony Chieh-tse Hou

National Dong Hwa University ( email )

No. 1, Sec. 2, Da Hsueh Rd.
Shoufeng
Hualien, 97401
Taiwan

HOME PAGE: http://faculty.ndhu.edu.tw/~tonycthou/

Phillip J. McKnight

University of Wisconsin - Milwaukee ( email )

Milwaukee, WI
United States

Charlie Weir (Contact Author)

Robert Gordon University - Aberdeen Business School

Garthdee Road
Aberdeen AB10 7QE
United Kingdom

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