基金經理人之間的從眾行為研究

Herd Behaviors for Mutual Fund Managers

10.6626/MR.2012.12(1).01

李顯儀(Hsien-Yi Lee)

共同基金 ； 從眾行為 ； 資訊瀑布流 ； Mutual fund ； Herd behavior ； Information cascade

管理研究學報

12卷1期（2012 / 06 / 01）

1 - 25

繁體中文

基金經理人因個人能力或資訊不足，常常會去觀察其他經理人交易所透露的隱含訊息，且彼此會相互推測他人訊息並模仿跟隨之，而造成集體的從眾行為。本文主要研究目的在於探討某些基金經理人是否會模仿績效傑出基金經理人的買賣行為，進而造成集體的資訊瀑布流從眾行為？本文的研究結果有三點：（一）基金經理人會模仿績效傑出基金的買賣行為，進而造成集體的從眾行為。（二）基金經理人模仿的從眾行為在多頭（年初）時期較空頭（年末）時期明顯。（三）基金經理人追隨的從眾行為在電子類股較非電子類股明顯。此結果顯示：國內傑出基金經理人的持股在市場具有標竿的作用。

The fund managers usually observe the implication from other managers' trading, due to lack of the personal ability or information. Further, the managers observe trading information from each other, and then decide if they need to follow other managers' behaviors. Therefore, fund managers have the herd behaviors. The main purpose of this paper is to explore if the mutual fund managers will follow trading behaviors of from outstanding fund managers, and then fund managers have the herd behaviors on the information cascade effect. This study has three empirical findings. First, fund managers have the herd behaviors. The fund managers will follow trading behaviors from outstanding fund managers. Secondly, the fund managers' herb behaviors in bull period (at the beginning of the year) are more significant than that in bear period (at the ending of the year). Third, the fund managers' herb behaviors on the electronics stocks are more significant than that on the non-electronics stocks. The results imply the outstanding fund managers will be the benchmark on their holding stocks.

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