재무연구 제 권 호 (2012년 8월)
Asian Review of Financial Research, Vol., No..
pp.1~43
pp.1~43
Who Mimics Whom in the Mutual Fund Market? Evidence from the Korean Mutual Fund Market
Sei-Wan Kim Department of Economics, Ewha Womans University, Seoul, Korea
Young-Min Kim Korea Financial Investment Association, Seoul, Korea
Bong-Soo Lee Department of Finance, College of Business, Florida State University
Motivated by theoretical analysis and unique Korean mutual fund market data, this paper provides new evidence of herding between individual investors and institutional investors in the mutual fund market along with related issues of risk aversion, dynamic investment strategies, cumulative performance, and the business cycle effect on herding. We find that individual mutual fund investors follow institutional mutual fund investors more than individual direct investors do in the direct investment market. We also find that individual mutual fund investors are more risk averse than other investor groups, and their herding behavior is pro-cyclical.
Sei-Wan Kim
Young-Min Kim
Bong-Soo Lee
Motivated by theoretical analysis and unique Korean mutual fund market data, this paper provides new evidence of herding between individual investors and institutional investors in the mutual fund market along with related issues of risk aversion, dynamic investment strategies, cumulative performance, and the business cycle effect on herding. We find that individual mutual fund investors follow institutional mutual fund investors more than individual direct investors do in the direct investment market. We also find that individual mutual fund investors are more risk averse than other investor groups, and their herding behavior is pro-cyclical.
