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Who mimics whom in the equity fund market? Evidence from the Korean equity fund market

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  • Kim, Sei-Wan
  • Lee, Bong-Soo
  • Kim, Young-Min

Abstract

Motivated by theoretical analysis and unique Korean equity fund market data, this paper provides new evidence of herding between individual investors and institutional investors in the equity fund market along with related issues of risk aversion, cumulative performance, and the business cycle effect on herding. We find that individual equity fund investors follow institutional equity fund investors more closely than individual direct equity investors do in the direct equity investment market. We further find that individual equity fund investors are more risk averse than other equity investor groups and their herding behavior is pro-cyclical.

Suggested Citation

  • Kim, Sei-Wan & Lee, Bong-Soo & Kim, Young-Min, 2014. "Who mimics whom in the equity fund market? Evidence from the Korean equity fund market," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 199-218.
  • Handle: RePEc:eee:pacfin:v:29:y:2014:i:c:p:199-218
    DOI: 10.1016/j.pacfin.2014.04.004
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    Cited by:

    1. repec:bla:acctfi:v:58:y:2018:i:1:p:195-215 is not listed on IDEAS
    2. repec:bla:acctfi:v:57:y:2017:i:3:p:837-853 is not listed on IDEAS
    3. repec:eee:jimfin:v:92:y:2019:i:c:p:62-74 is not listed on IDEAS

    More about this item

    Keywords

    Herding; Individual investor; Institutional investor; Equity funds;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G2 - Financial Economics - - Financial Institutions and Services

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