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An Empirical Study Of Fund Families’ Joint Holding Behavior And Stock Return And Volatility

Posted on:2015-01-18Degree:MasterType:Thesis
Country:ChinaCandidate:Y W LiFull Text:PDF
GTID:2309330452467231Subject:Finance
Abstract/Summary:PDF Full Text Request
The phenomenon of joint holding of stocks exists among funds within one fundfamily. Through the panel data analysis from2005to2013, and constructing the FHMindicator measuring the joint holding between funds within fund families, I studied thejoint holding behavior and its relationship with stock return and volatility.Empirical results shows that the joint holding behavior in fund families has beenincreasinglystrong, yet the fund companies tends to reduce joint holding in years whenstock volatility is high. The joint holding behavior significantly increased the stock’sreturn in the current period as well as the future3-6months, the abnormal returncompared to market can be5.49%.Besides, the joint holding behavior accelerates the speed of price reflecting uponinformation, helps to improvetheefficiencyofthe stockmarket. Results ofthedynamicpanel data analysis shows that stock volatility increases significantly in the currentperiod and the future3months after joint holding, thus increased the volatility of stockmarket.
Keywords/Search Tags:Joint holdingof fund families, excess return, volatility, dynamic paneldata regression model
PDF Full Text Request
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