期刊
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
卷 57, 期 -, 页码 -出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.najef.2021.101417
关键词
Chinese open-end funds; Herding; CSAD; Networks of common asset holdings
资金
- National Nature Science Foundation of China [71671037, 71971055]
- 16th Batch of Six Talents Peak High-level Talent Projects in Jiangsu Province [JY004]
- Social Science Fund Project of Jiangsu Province [19GLC005]
This study investigates the herding behavior of Chinese open-end fund managers, finding that most types of funds exhibit herding driven by non-fundamental factors. Herding is more pronounced when the market is rising and fund flow is positive, and is influenced by the network structure of common asset holdings. Additionally, herding tends to be more significant under conditions of high volatility and high economic policy uncertainty, with a negative relationship between fund size and herding behavior.
This paper aims to detect the herding of Chinese open-end fund managers and examine the role that structural features of their industry play in their herding. The herding behaviour is investigated by employing the cross-sectional absolute deviation (CSAD) model, drawing on the Chinese open-end fund market for the 2007-2020 period. Our findings suggest that the presence of herding has been confirmed in all other types of funds except for income funds, with their herding being mainly driven by non-fundamental factors. Most types of funds show more pronounced herding when the market is rising and the fund flow is positive. Up markets foster positive fund flows, which promote herding to a certain extent. The structural characteristics of fund networks of common asset holdings produce an impact on the fund herding. Herding is observed in the network with larger centrality index and the disassortative network. Moreover, we also find that herding in most types of funds is more pronounced under conditions of high volatility and high economic policy uncertainty, and the fund herding tends to grow inversely with fund-size.
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