共同基金羊群行為之探究－以中國為例

Abstract

本研究旨在探討中國共同基金羊群行為現象，以及中國證券分析師之股票推薦評等之變動與離差，對於中國共同基金羊群行為之影響，並探究明星分析師之股票推薦評等之變動與離差對於共同基金羊群行為之影響。 實證結果顯示，中國共同基金確實存在羊群行為。此外，分析師修正股票推薦評等，對於共同基金之羊群行為並未造成顯著影響，無論分析師調升或調降股票推薦，對共同基金羊群行為之影響皆不顯著。然而，明星分析師股票推薦評等變動顯著影響共同基金之羊群行為，特別地，明星分析師調降股票推薦，會造成共同基金有顯著之羊群行為，而非明星分析師對於共同基金羊群行為並不存在此影響。另外，在控制明星分析師股票推薦變動及明星分析師股票推薦離差個別效果後，明星分析師股票推薦離差並未顯著影響共同基金羊群行為。

This study examines the trading activity of the mutual fund industry from 2007 through the first quarter of 2010 to determine whether funds herd when they trade stocks. In addition, this study investigates the relation between herding of mutual fund and consensus revisions of the analysts’ stock recommendations. In particular, this study examines the relation between herding of mutual funds in China and consensus revisions of the star analysts’ stock recommendations. This study also examines the association between dispersions of analysts’ recommendations and mutual funds herding. The empirical results reveal that herding by mutual funds in China in average stocks from 2007 to the first quarter of 2010. However, there is no significant evidence that mutual funds in China trade in response to both analysts’ consensus upgrades and downgrades. The evidence indicate that mutual funds in China herd with star analysts’ recommendation revisions, especially herding with star analysts’ consensus downgrades. Additionally, the results show that mutual funds herding is not significantly related to dispersions of star analysts’ recommendations.