台灣共同基金市場從眾行為之研究

The research of herding behavior in Taiwan mutual fund market

黃雋捷(Jun-Jie Huang)

指導教授 ： 何中達

國立中央大學/管理學院/財務金融學系/碩士(2014年)

摘要

本研究探討台灣股票市場中共同基金從眾行為，使用相關的假說進行驗證，並分析不同類型共同基金的從眾行為。首先驗證台灣整體共同基金市場是否存在顯著的從眾行為，接下來分別就不同類型共同基金從眾行為差異做分析:本研究有四點發現(一)台灣共同基金市場存在從眾行為(二)以規模大小來區分，不論共同基金規模大小或是共同基金所屬投信公司規模大小，均發現規模小的共同基金從眾行為較明顯(三)本國型投信公司從眾行為較外資型投信公司明顯(四)前期報酬較低的共同基金，當期從眾行為較前期報酬較高的共同基金明顯。這些結果隱含台灣市場可能較無效率使得從眾行為較明顯，且共同基金從眾行為會因為基金類型有所差異。

關鍵字

共同基金 ； 從眾行為

並列摘要

The purpose of this study is to investigate the herding behavior of mutual funds in Taiwan market. We verify related hypotheses and analyze the differences of mutual funds herding behavior. First of all, we verify that the overall mutual fund market if there is a significant herding behavior in Taiwan market, and then dividing all mutual fund into various groups according to mutual fund characteristics. The main findings are four points. (1)The herding behavior in Taiwan overall mutual fund market is very significant. (2)Based on either the size of the mutual fund or the securities investment trust enterprises which the mutual fund belongs to, we find that the herding behavior in the small-scale mutual funds are more significant than those of the large-scale mutual funds. (3)The herding behavior in the domestic securities investment trust enterprise is more significant than that of the foreign securities investment trust enterprise. (4)The herding behavior of the mutual funds with lower past return is more significant than the mutual funds with higher past return. This result of obvious herding behavior implies inefficiency in Taiwan markets. In addition, the different type of mutual fund varies on groups

並列關鍵字

mutual fund ； herding behavior

參考文獻

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