An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective
Shuo Xing and
Pacific-Basin Finance Journal, 2022, vol. 74, issue C
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.
Keywords: Herding; Mutual funds; Regime switching; Driving factors (search for similar items in EconPapers)
JEL-codes: C10 G10 G23 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x22001159
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