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An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective

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  • Cheng, Tingting
  • Xing, Shuo
  • Yao, Wenying

Abstract

This paper investigates the existence of herding behaviour in the Chinese mutual fund market from a time-varying perspective. We examine the relationship between the dispersion of fund returns and the fund market returns using a Markov regime switching approach, and explore the driving factors of herding under different regimes. Our results suggest that herding behaviour is time-varying and heterogeneous across different fund types, investment styles, fund sizes, and industrial groups. In addition, the observed herding behaviours are mainly driven by non-fundamentals. We also find that herding behaviour is more pronounced during the up market and becomes insignificant during the down market.

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  • Cheng, Tingting & Xing, Shuo & Yao, Wenying, 2022. "An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x22001159
    DOI: 10.1016/j.pacfin.2022.101820
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    Cited by:

    1. Liang Wang & Yuanfei Wang & Bixiao Li, 2023. "The influence of the social networks of fund managers on the herding behavior of SIFs in China," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-14, December.

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    More about this item

    Keywords

    Herding; Mutual funds; Regime switching; Driving factors;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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