The Role of Institutional Ownership and Herding in Diversification Strategy

機構持股、從眾與風險分散

10.30003/JRM.200211.0001

游智賢(Chih-Hsien Yu)

機構持股 ； 從眾 ； 風險分散 ； 共同基金 ； 自營商 ； Institutional Ownership ； Herding ； Diversification ； Mutual Funds ； QFII

風險管理學報

4卷2期（2002 / 11 / 01）

1 - 35

英文

本研究之目的，在於探討機構持股與從眾行為，在投資股票之風險分散上所扮演的角色。本文首先就具不同機構持股比率之個股，檢驗其從眾之程度有無不同。許多先前針對美國市場所獲致之研究結果，顯示機構投資人較一般散戶容易具從眾之傾向。確實，本研究發現在機構持股方面，共同基金持股較高之個股，其所顯現出之從眾程度較明顯。但在程度上，自營商之持股部分則較不明顯。此結果隱含共同基金較自營商具從眾之傾向。接著，本文探討具不同機構持股程度之投資組合，其對股票風險分散效果之影響。結果顯示高機構持股之個股間，其股票報酬之相關程度，高於低機構持股之個股間的股票報酬相關程度。此隱含高機構持股之個股，其所能提供的股票風險分散之利益較少。上述之情形經過產業、公司市值，以及價值或成長類股之調整後依然存在。所以，此顯示機構持股乃為進行股票風險分散之重要考量因素。最後，本文發現機構投資人之從眾本身，並不會對股票風險分散產生影響。

This paper aims at exploring the relative importance of institutional ownership and behavior of herding in the effect of diversification. I first examine the degree of significance on herding for stocks with different levels of institutional ownership. Many previous studies based on the US market argue that institutional investors may exhibit more herding behavior than the individual investors since there are more incentives for the institutional investors than for the individual investors to herd in their trading. Indeed, I find that stocks with higher (lower) mutual fund ownership tend to exert higher (lower) degree of herding. But the extent of herding is not as strong for the securities dealers. This implies that mutual fund managers exhibit more herding than securities dealers do. Next, I attempt to assess the diversification benefits for the portfolios with different levels of institutional ownership or different extent of herding. The evidence shows that the return association is higher (and consequently, the diversification benefit is lower) among stocks with larger institutional ownership than those with less institutional ownership. This pattern still exists even after controlling for the factors of industry, market capitalization and value/growth stocks. This finding implies that institutional ownership plays an important role in the stock diversification effect. Finally, I find that the institutional herding itself does not affect the stock diversification.

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