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研究生:侯予涵
研究生(外文):Yu-Han Hou
論文名稱:英國共同基金串聯交易行為及群聚效應之研究
論文名稱(外文):UK Fund Manager Cascading and Herding Behavior
指導教授:盧陽正盧陽正引用關係方豪方豪引用關係
指導教授(外文):Yang-Cheng LuHao Fang
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:57
中文關鍵詞:調查群聚聲譽群聚資訊群聚英國共同基金動量交易
外文關鍵詞:UKMutual fundReputational herdingInvestigative herdingMomentum tradingInformational herding
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本研究延伸Sias(2004)的研究,探討英國共同基金經理人於股票市場中是群聚行為之存在性及其群聚原因為何,並分析於多空頭期間其群聚行為是否不同及群聚行為是否具有進一步之資訊內涵。本研究結果顯示,英國共同基金經理人串聯行為主要源於群聚驅動價格而不是習慣性投資。相較於Sias (2004) 在美國股市和Wylie (2005) 在英國股市上的研究結果,本研究發現動量交易是英國共同基金經理人群聚的主要原因之一,且其更可能群聚於資本額為大的股票,故基金經理人之群聚型態可能源於調查群聚,此與Sias (2004) 在美國市場中的發現不同。再者,本研究發現英國基金經理人串聯行為之存在性不會因為市場的多空頭改變而改變。本研究也發現在英國境內註冊的基金經理人中,成長型及國際型基金經理人會群聚於相同型態的基金,而價值型基金經理人則會群聚於不同型態之基金。此外,本研究證實英國共同基金經理人買進與買進後持有股票一段期間的報酬之間具有弱勢正相關,此現象與Wermers (1999), Choe et al. (1999) and Sias (2004) 的結論一致。根據Hung et al. (2010) 的論點,英國共同基金經理人的群聚行為是屬於在後續年度內的資訊群聚。英國股市投資者若追隨英國共同基金經理人的群聚焦點,買進其買超群聚達一年且交易頻次至少每季為15的股票投資組合將產生顯著的平均正報酬。本研究更發現英國的成長型、特定產業型和國際型基金之群聚後平均正報酬最顯著。
This paper first extends Sias(2004) to examine whether UK fund managers are engaged in the herding behaviors in the stock market, what are their herding reasons, whether their herding behaviors are different in the bullish and bearish periods and whether their herding behaviors are informational or not. Our results demonstrate that UK fund managers’ cascades mainly result from their herding and their herding is not primarily driven by habit investing. Different from the results of Sias(2004) and Wylie (2005), we find that momentum trading can be regarded as one of the main reasons of UK fund managers’ herding. They are more likely to herd in large capitalization securities, so their herding may result from investigative herding, contrary to the finding of Sias(2004). Moreover, our results find that fund managers’ cascades mainly resulting from their herding does not change in the bullish and bearish stock markets. We also find the growth-type funds are more likely to herd with their different types. In addition, we confirm that there are weak positive correlations between the fraction of fund managers buying and subsequent stock returns, consistent with the results of Wermers(1999), Choe et al.(1999) and Sias(2004). According to the argument of Hung et al.(2010), their herding behaviors belong to informational herding within the following year. In order to improve portfolio performance, other investors could follow UK fund managers to purchases stocks overbought by them with at least 15 traders quarterly in the following one year especially for the funds of growth, specific sector and international.
第壹章 緒論........................................................ 1
第一節 研究背景與動機 ........................................... 1
第二節 研究目的 ................................................. 7
第三節 研究流程 ................................................. 8
第貳章 文獻探討 .................................................. 9
第一節 共同基金定義及分類 ....................................... 9
第二節 共同基金群聚的原因....................................... 11
第三節 共同基金群聚與動量或反向交易的效果 ..................... 13
第四節 多空頭下共同基金群聚的差異性............................. 15
第五節 共同基金是否較追隨相同型態者............................. 15
第六節 共同基金的群聚行為是否內含資訊價值....................... 16
第參章 研究方法 ................................................. 18
第一節 資料來源及分析........................................... 18
第二節 檢測英國共同基金群聚效應................................. 22
第三節 英國共同基金群聚源於習慣性投資或串流..................... 23
第四節 英國共同基金群聚源於動量交易或串流....................... 24
第五節 英國共同基金群聚源於調查群聚或資訊串流................... 25
第六節 基金經理人的群聚是否於多空頭市場會改變? ................. 26
第七節 相同及不同型態基金經理人的群聚........................... 26
第八節 檢測共同基金的群聚行為是否內含資訊價值................... 28
第肆章 實證結果 ................................................. 29
 第一節 英國共同基金經理人群聚的結果 ............................ 29
第二節 英國共同基金群聚源於習慣性投資或串流的結果............... 31
第三節 英國共同基金經理人群聚源於動量交易或串流的結果........... 33
第四節 英國共同基金群聚源於調查群聚或資訊串流的結果............. 35
第五節 基金經理人的群聚是否於多空頭市場會改變的結果............. 36
第六節 相同及不同型態基金經理人的群聚結果....................... 39
第七節 共同基金的群聚行為是否內含資訊價值的結果................. 42
第伍章 結論....................................................... 46
參考文獻.......................................................... 48
中文部分
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