Date post: | 15-Jul-2015 |
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Economy & Finance |
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Introduction to the study
Research objectives:
1. to investigate the herding behavior of investors
in
different situations.
2. Performance evaluation of mutual Funds in
Pakistan.
3. Evaluation of the risk and return from the
individual fund.
Research questions:
1. How herding behavior be measurable?
2. Does mutual funds herding has significant
impact on stock return?
3. How we can evaluate the mutual funds
performance in pakistan in past few years?
4. How risky are the funds involved in
comparison to return?
introduction
A mutual fund is an entity that pools the money
of many investors to invest in different
securities. Investments may be in shares, debt
securities, money market securities or a
combination of all these.
types
Open end funds:
Depends on demand, buying and selling, IPO.
Close end funds:
Restricted, limited, buying and selling.
Herding definitions
Nofsinger and Sias (1999),
1.Group, same direction, same time.
2. A herd instinct relate to situations in which
individuals gravitate to the same investments,
based only on the fact that many others are
investing in those stocks.
Fear of regret.
History of mutual funds
M.F was first introduced in USA in 1940, now has 14000 M.F worth of nine trillion dollars.
Europe has 30,000 investment of 6 trillion dollars.
Asia included 11000 has investment of 2 trillions.
Africa M.F included 52 billion dollars.
Pakistan M.F have worth of 150 billion rupees.
M.F industry was first introduced by government in 1962 in form of NIT.
NIT is the largest M.F has almost 70 billion rupees.
Gap analysis
Focus at research on the financial markets after
2008 financial crises.
Lehman brother’s positive correlation in mutual
funds.
recently no study has been conducted in Pakistan
evaluating performance.
Performance is the major indicator in the decision
making.
Literature review:
1. Anna Mitsios (2006),
investigate intraday herding in wide market
and industry in austrilian equity
markets.
2. Tingyu Zo and Neng La, hong kong (2007),
separate stock in two portfolios, property
versus non property stocks.
3. Scharfistine and stein (1990). Studied
intentional and unintentional herding.
4. Ching li and tan (2010).
Examined herding in aggregate market of
share investor ‘A’ and share investor ‘B’.
5. Glesona mathrub and Peterson (2004).
Analyzed herding in higher markets
moments.
6. Shoo and sun(2010).
Studied institutional investors behavior.
Literature review
Literature review
Nadine Gatzerts et.al 2013,
Andrea et.al. 2014,
C.Edward et.al. 2012,
M Reza et.al.2010,
performance and risk as a major factor in
MFs.
Others, hummaira et.al.2012,
Aamir shah et.al. 2005, obtained results by
performance evaluation.
Theoretical Framework
Effective
investment
decisions in M.F
Mutual funds
herding
Performance
evalaution
Research Design
Pooled variance techniques.
Regression model.
Descriptive statistics.
ANOVA.
Hypothesis. H1 (-), H2 (+)
Research design
Performance is measured with the following
models;
Sharpe ratio
Treynor ratio
Jensen alpha