| Summary: | 碩士 === 國立屏東科技大學 === 財務金融研究所 === 101 === Since the first investment trust company was established in 1983, the Taiwanese financial industry has rapidly developed and fund sales have gradually become one of the largest sources of bank revenues. Previous studies have suggested that fund managers buy and sell concurrently with other managers when they are exposed to sales and performance pressures. This behavior is commonly called herding.
In traditional regression models, only “average margins” are observed. Thus, to observe the changes in the herding behavior of fund managers in quantiles, this study consequently employed a quantile regression method. In addition, risks influence the herding behavior of fund managers. To investigate the relationships between herding and numerous risk states, we used various dummy variables to categorize the risk states.
For research samples, we collected data concerning domestic equity funds in Taiwan from 2000 to 2012 (155 months), adopting current performance, performance in the previous period, performance in the following period, portfolio turnover rate, fund size, and fund risks as the explanatory variables. The empirical results suggested that herding, buying herding, and selling herding behaviors commonly presented in each research year. In addition, we employed the dummy variable method to categorize the risk states into 4 groups in a sequentially declining order. Of the 4 risk quartiles, only the low-level herding quartile achieved the level of significance. As the risk increased, the significance between fund risks and the herding index exhibited a gradually declining tendency.
Keywords：Herding Risk states Quantile Regression
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