机构投资者与个人投资者羊群行为的差异被引量：81

The Herding Behavior Difference between Institutional Investor and Individual Investor

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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.

作者李志文余佩琨杨靖

机构地区清华大学经济管理学院

出处《金融研究》 CSSCI 北大核心 2010年第11期77-89,共13页 Journal of Financial Research

关键词机构投资者个人投资者羊群行为 institutional investors individual investors herding behavior

分类号 F832.51 [经济管理—金融学]

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