Mutual fund herding behavior and investment strategies in Chinese stock market
This investigation studies the impact of mutual fund herding on the returns achieved by contrarian strategy from 1990 to 2015 in the Chinese stock market. The relationship between the profit gained by the contrarian strategy and the macroeconomic environment is also examined. First, the returns of t...
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2018-05-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/10306/imfi_2018_02_Hu.pdf |
| _version_ | 1818135588468948992 |
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| author | John Wei-Shan Hu Yen-Hsien Lee Ying-Chuang Chen |
| author_facet | John Wei-Shan Hu Yen-Hsien Lee Ying-Chuang Chen |
| author_sort | John Wei-Shan Hu |
| collection | DOAJ |
| description | This investigation studies the impact of mutual fund herding on the returns achieved by contrarian strategy from 1990 to 2015 in the Chinese stock market. The relationship between the profit gained by the contrarian strategy and the macroeconomic environment is also examined. First, the returns of the contrarian strategy in China’s stock market are found to be significant. Second, most loser stocks with a high degree of mutual fund herding outperform loser stocks with a low degree of mutual fund herding, revealing that the profitability of an investment portfolio depends on the degree of mutual fund herding. Third, investors should buy loser stocks with a high degree of herding and sell winner stocks with a low degree of herding during a two-year formation period, over which zero-cost contrarian strategies yield the significantly highest return. Finally, the payoff of contrarian strategies is positively related to the herding effect and negatively related to macroeconomic variables. |
| first_indexed | 2024-12-11T09:26:54Z |
| format | Article |
| id | doaj.art-f5598638e5224bbd92eab468ef870dd7 |
| institution | Directory Open Access Journal |
| issn | 1810-4967 1812-9358 |
| language | English |
| last_indexed | 2024-12-11T09:26:54Z |
| publishDate | 2018-05-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj.art-f5598638e5224bbd92eab468ef870dd72022-12-22T01:13:08ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582018-05-01152879510.21511/imfi.15(2).2018.0810306Mutual fund herding behavior and investment strategies in Chinese stock marketJohn Wei-Shan Hu0Yen-Hsien Lee1Ying-Chuang Chen2Professor, Departments of Business Administration and Finance, Chung Yuan Christian UniversityChairman and Associate Professor, Department of Finance, Chung Yuan Christian UniversityMaster, Department of Business Administration, Chung Yuan Christian UniversityThis investigation studies the impact of mutual fund herding on the returns achieved by contrarian strategy from 1990 to 2015 in the Chinese stock market. The relationship between the profit gained by the contrarian strategy and the macroeconomic environment is also examined. First, the returns of the contrarian strategy in China’s stock market are found to be significant. Second, most loser stocks with a high degree of mutual fund herding outperform loser stocks with a low degree of mutual fund herding, revealing that the profitability of an investment portfolio depends on the degree of mutual fund herding. Third, investors should buy loser stocks with a high degree of herding and sell winner stocks with a low degree of herding during a two-year formation period, over which zero-cost contrarian strategies yield the significantly highest return. Finally, the payoff of contrarian strategies is positively related to the herding effect and negatively related to macroeconomic variables.https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/10306/imfi_2018_02_Hu.pdfChinese stock marketcontrarian strategyherding behaviormacroeconomic variablesmutual fund |
| spellingShingle | John Wei-Shan Hu Yen-Hsien Lee Ying-Chuang Chen Mutual fund herding behavior and investment strategies in Chinese stock market Investment Management & Financial Innovations Chinese stock market contrarian strategy herding behavior macroeconomic variables mutual fund |
| title | Mutual fund herding behavior and investment strategies in Chinese stock market |
| title_full | Mutual fund herding behavior and investment strategies in Chinese stock market |
| title_fullStr | Mutual fund herding behavior and investment strategies in Chinese stock market |
| title_full_unstemmed | Mutual fund herding behavior and investment strategies in Chinese stock market |
| title_short | Mutual fund herding behavior and investment strategies in Chinese stock market |
| title_sort | mutual fund herding behavior and investment strategies in chinese stock market |
| topic | Chinese stock market contrarian strategy herding behavior macroeconomic variables mutual fund |
| url | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/10306/imfi_2018_02_Hu.pdf |
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