우리나라 주식시장에서자산운용사의 군집행동

This study analyzes whether asset management companies exhibit herd behavior in the Korean stock market and to what extent of their herd behavior differs across the quintile classified by holding stocks’ firm size, asset management companies’ amount and turnovers of managing asset. We use monthly ownership data for each asset management company from September 2005 to November 2009. Our major findings are as follows. First, we find the strong evidence of herding by equity funds, when their herding are measured, using the methodology proposed by Sias (2004), in terms of each asset management company that manages multiple funds. Second, we find the weak evidence of positive feedback trading by asset management companies. It does not impact on their herding, which indicates that it is not the main cause of their herding. Finally, the extent of their herding differs across the quintile. The extent of herding by the largest and smallest firm size group, the largest managing asset group, and the smallest turnover group turns out to be relatively greater than other groups. This finding suggest that their herd behavior may arise from non-informational motives (e.g. reputational herding, characteristic herding) as well as informational motives (e.g. information cascade, investigative herding).