中国股市个人与机构投资者的羊群效应

Herding behavior of Chinese individual and institutional investors

为了检验中国证券市场个人与机构投资者的羊群效应及其市场影响,把市场上的投资者分为个人投资者和机构投资者两类进行研究。选取的数据样本为2001年8月27日到2002年3月25日中所有上海证券市场A股667支股票所进行的交易。研究结果显示,个人投资者在羊群效应上表现明显。中型投资者和机构投资者的交易额变化对市场价格因素没有依赖性,也不存在羊群效应。因此,我国证券市场大力发展机构投资者的政策是值得推广和坚定实施的。

This article analyzes the herding behavior of various kinds of investors and their influence on each other. Our sample came from the Shanghai Stock Exchange A Share Market, including 667 stocks and all their trades between August 27, 2001 and March 25, 2002. The results show that individual investors manifest significant herding behavior. Medium-size investors and institutional investors did not manifest herding behavior. The conclusion is that medium-size investors and institutional investors are more informed and efficient traders in the Chinese securities market than individual investors. Therefore, the policy of accelerating development of institutional investors will benefit both investors and regulators.