Herding in the German Mutual Fund Industry
分析1998-2002年德国共同基金的交易活动，发现基金经理存在羊群行为和正反馈交易，且部分羊群行为源于基准指数成分变化，但羊群行为对股价既未产生稳定也未产生不稳定影响。
Abstract This paper analyses the trading activity of German mutual funds in the 1998–2002 period to investigate whether German mutual fund managers are engaged in herding behaviour. Another objective of the study is to determine the impact of this herd‐like trading on stock prices. Our results provide evidence of herding and positive feedback trading by German mutual fund managers. We show that a significant portion of herding detected in the German market is associated with spurious herding as a consequence of changes in benchmark index composition. Investigating the impact of mutual fund herding on stock prices, we find that herding seems to neither destabilise nor stabilise stock prices.