Abstract
Recently, domestic mutual fund development was rapidly. As widely open door for
foreign investment and mutual fund joining stock market, its structure starts slowly
changing. Via different kinds of expansion and merger let The properties of companies
tend to complex. Investors sometimes hardly make correction decision. Here just focus
on mutual funds which are belong to common stock type to observe the existence of
herding trade. And then check the relation between performance roll drift and herding
trade in mutual funds.
Usually known how to select funds is performance roll. And general one likes to choose
No. 1 which may be myth. Actually No. 1 fund sometimes put heavy weight on particular
stock. So it might temporary catch head. But it does not gain steady return. Then selecting
steady head group is more important. Is it true? Investment companies may issue several
funds. During inside discuss between funds managers could influence stock holding. Even
though information spread speed could have different between crowd and investment com-
panies, they are all affected by outside. So call hedging is mean that follows market behavior
to cow buy or bear sell. If the choice of funds holding stocks follows other funds, perform-
ance roll will random shift. Then using it to judge funds selection would not be reliable.
The major are common stock type mutual funds belong to Taiwan mutual fund perform-
ance. Draw funds front 20 and rear 20 and define them as winner and loser. Check their stock ownerships correlation, herding coefficient and drift phenomenon in certain period.
During time set, find winner and loser have preference to keep some group stocks. In co-
mparsion with entire common stocks funds, herding values in winner and loser are not so
obviously different with zero. Loser group drift to winner side when values are more different
with zero. In certain period, there is high drift ration which change performance roll list.
Keyword: hedging¡Bfund performance¡Bwinner¡Bloser
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0906107-211501 |
| Date | 06 September 2007 |
| Creators | Cheng, Shui-ying |
| Contributors | Huang,Jen-Jsung, Kuo,Hsioujen, Jeng,Yih |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0906107-211501 |
| Rights | unrestricted, Copyright information available at source archive |
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