Herding behavior among mutual fund managers of BPI, Philam, and Sunlife in the Philippines during the period 2000-2005

Date of Publication

2006

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Leila Calderon-Kabigting

Defense Panel Chair

Antonio R. Zamora

Liberty S. Patiu

Defense Panel Member

Edna-Li Asanias

Paulynne J. Castillo

Abstract/Summary

The study supposed the independency of herding behavior of mutual fund managers on fund specific characteristics and market condition in the Philippine context. A modified version of Lakonishok's measure of herding was used to determine if herding do exists. Data were gathered through the quarterly data of funds beings managed by BPI, Philam, and Sunlife during the period 2000-2005. ANOVA and Pearson's R Correlation were then used to see the effect of herding behavior on factors such as market capitalization, portfolio holdings, stock market returns, and market volatility. It was found that herding does exist in the Mutual Fund Industry of the Philippines. Higher level of herding was observed in small capitalized funds, bond funds, during low market volatility, and during average market stock return. Consequently, lower level of herding was observed in large capitalized funds, balanced funds, during high market volatility, and during high market stock return.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU13586

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

71 leaves : ill. ; 29 cm.

Keywords

Mutual funds; Hedge funds; Investments; BPI; Philam; Sunlife

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