比較臺灣與中國開放式股票型基金經理人之羊群行為

Abstract

本研究主要目的為比較臺灣與中國開放式股票型基金經理人的羊群行為度，主要發現為：1. 臺灣與中國的開放式股票型基金皆存在羊群行為，且臺灣與中國基金經理人羊群行為度相似；2. 臺灣基金經理人針對主要持股的投資組合做決策，其羊群行為度小於針對非主要持股投資組合做決策；3. 在基金半年報、年報即將公布時，臺灣與中國的基金經理人的羊群行為度並不比平時的羊群行為度高；4. 無論是在多頭市場或是空頭市場，中國的開放式股票型基金經理人皆不會因為市場的多空，而改變其羊群行為度，但臺灣的開放式股票型基金經理人在空頭市場時，其羊群行為度較高。

The main purpose of this research is to compare the herding behavior of Taiwan’s and China’s open-end stock mutual fund managers. We found that (1) Taiwan’s and China’s open-end stock mutual fund managers have herding behavior, and the levels of herding behavior are comparable. (2) In Taiwan, mutual fund managers have weaker herding behavior while investing in main portfolio than in satellite portfolio. (3) Before the announcements of funds’ semiannual or annual reports, Taiwan’s and China’s fund managers do not have higher herding behavior. 4. China’s mutual fund managers do not change their herding behavior, either in the bull market or in the bear market, but Taiwan’s mutual fund managers have stronger herding behavior in the bear market.