An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective

被引：7
|
作者：
Cheng, Tingting [1 ]
Xing, Shuo [1 ]
Yao, Wenying [2 ]
机构：
[1] Nankai Univ, Sch Finance, Tianjin, Peoples R China
[2] Univ Melbourne, Melbourne Business Sch, 200 Leicester St, Carlton, Vic 3053, Australia
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2022年 / 74卷
基金：
中国国家自然科学基金;
关键词：
Herding; Mutual funds; Regime switching; Driving factors; IMPACT; INVESTORS; MARKETS; MODELS;
D O I：
10.1016/j.pacfin.2022.101820
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper investigates the existence of herding behaviour in the Chinese mutual fund market from a time-varying perspective. We examine the relationship between the dispersion of fund returns and the fund market returns using a Markov regime switching approach, and explore the driving factors of herding under different regimes. Our results suggest that herding behaviour is time-varying and heterogeneous across different fund types, investment styles, fund sizes, and industrial groups. In addition, the observed herding behaviours are mainly driven by non-fundamentals. We also find that herding behaviour is more pronounced during the up market and becomes insignificant during the down market.
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页数：24
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