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
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
Recommended Citation
Bolivar, L. C., Dizon, M. B., & Mendoza, M. G. (2006). Herding behavior among mutual fund managers of BPI, Philam, and Sunlife in the Philippines during the period 2000-2005. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/8503