Using Herding Behavior in Predicting Trends of Stock Price and Fund Value –A Social Network Analysis Perspective

以從眾行為預測股價及基金淨值趨勢:以社會網路分析觀點

鄭勝丰(Sheng-Feng Cheng)

指導教授 ： 王俊程

國立清華大學/科技管理學院/科技管理研究所/碩士(2008年)

摘要

Factors that affect fund and equity performance are one of the most important issues for institutional and individual investors. Previous studies have investigated several factors affecting the performance. Taking a social network approach, this study examines fund family density and centrality indices in the network constructed from fund holdings. We attempt to investigate the effect of organizational diseconomies on fund performance and the influence of centrality indices of social network of holdings on their performance. The results show that centralities have a positive correlation with stock price and fund value. Stock degree and stock betweenness perform better than the factor of outside institutional investment in forecasting stock price. Fund degree and fund closeness can estimate fund value. Finally, we show that the existence of neglected-firm effect is significant in Taiwan equity fund.

關鍵字

基金家族 ； 從眾行為 ； 社會網絡分析 ； 冷門股效應

並列摘要

HASH(0x1cb4e180)

並列關鍵字

Fund family ； Herding behavior ； Social Network Analysis ； Neglected-firm effect

參考文獻

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