Herding in the German mutual fund industry

被引：86

作者：

Walter, Andreas ^{[1
]}

Weber, Friedrich Moritz ^{[1
]}

机构：

[1] Univ Tubingen, Dept Banking, D-72074 Tubingen, Germany

来源：

EUROPEAN FINANCIAL MANAGEMENT | 2006年 / 12卷 / 03期

关键词：

mutual funds; herding; positive feedback trading; German stock market;

D O I：

10.1111/j.1354-7798.2006.00325.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper analyses the trading activity of German mutual funds in the 1998-2002 period to investigate whether German mutual fund managers are engaged in herding behaviour. Another objective of the study is to determine the impact of this herd-like trading on stock prices. Our results provide evidence of herding and positive feedback trading by German mutual fund managers. We show that a significant portion of herding detected in the German market is associated with spurious herding as a consequence of changes in benchmark index composition. Investigating the impact of mutual fund herding on stock prices, we find that herding seems to neither destabilise nor stabilise stock prices.

引用

页码：375 / 406

页数：32

共 38 条

[11] Preferences for stock characteristics as revealed by mutual fund portfolio holdings
Falkenstein, EG
[J]. JOURNAL OF FINANCE, 1996, 51 (01) : 111 - 135
[12] Forner C., 2003, European Financial Management, V9, P67, DOI [10.1111/1468-036X.00208, DOI 10.1111/1468-036X.00208]
[13] HERD ON THE STREET - INFORMATIONAL INEFFICIENCIES IN A MARKET WITH SHORT-TERM SPECULATION
FROOT, KA
SCHARFSTEIN, DS
STEIN, JC
[J]. JOURNAL OF FINANCE, 1992, 47 (04) : 1461 - 1484
[14] GLASER M, 2003, SCHMALENBACH BUS REV, V55, P108
[15] Grinblatt M, 1995, AM ECON REV, V85, P1088
[16] Hirschleifer D., 2003, EUR FINANC MANAG, V9, P25, DOI DOI 10.1111/1468-036X.00207
[17] SECURITY ANALYSIS AND TRADING PATTERNS WHEN SOME INVESTORS RECEIVE INFORMATION BEFORE OTHERS
HIRSHLEIFER, D
SUBRAHMANYAM, A
TITMAN, S
[J]. JOURNAL OF FINANCE, 1994, 49 (05) : 1665 - 1698
[18] *HOPP FIN INF GMBH, 1999, HOPP AKT
[19] RETURNS TO BUYING WINNERS AND SELLING LOSERS - IMPLICATIONS FOR STOCK-MARKET EFFICIENCY
JEGADEESH, N
TITMAN, S
[J]. JOURNAL OF FINANCE, 1993, 48 (01) : 65 - 91
[20] Jones S., 1999, HERDING FEEDBACK TRA

← 1 2 3 4 →