机构投资者与个人投资者羊群行为的差异  

The Herding Behavior Difference between Institutional Investor and Individual Investor

作　　者：李志文[1] 余佩琨[1] 杨靖[1] 

机构地区：[1]清华大学经济管理学院,北京100084

出　　处：《金融研究》2010年第11期77-89,共13页Journal of Financial Research

摘　　要：本文利用TopView的投资者仓位变化和账户数变化的日数据,将投资者羊群行为定义为投资者持有各只股票仓位变化的标准差,详细探讨机构投资者与个人投资者羊群行为的差异。结果显示在中国资本市场上:(1)机构投资者的羊群行为比个人投资者的羊群行为更明显;(2)个人投资者的交易行为难以模仿机构投资者的交易行为。本文从羊群行为这个角度展示中国资本市场的微观结构,有助于投资者和学者更加深刻地理解中国资本市场的本质。Based on TopView data,this paper defines herding behavior as the deviation of investor position change.The empirical results indicate the herding behavior difference between institutional investor and individual investor.In short run,institutional investor＇s herding behavior is more apparent than individual investor＇s herding behavior,but individual investor＇s trading behavior doesn＇ t copy institutional investor＇ s trading behavior. From the perspective of herding behavior,this paper clearly demonstrates China＇s capital market micro-structure, and helps investors and scholars to deeply understand the nature of China＇s capital market.

关 键 词：机构投资者 个人投资者 羊群行为 

分 类 号：F832.51[经济管理—金融学]