羊群行为的叠加及其市场影响——基于证券分析师与机构投资者行为的实证研究

Overlapping of Herding and Its Impact on the Market——Empirical Study Based on the Behavior of Security Analysts and Institutional Investors

本文以证券分析师评级调整事件为研究对象,通过对2005年1月到2010年6月期间3222个样本的研究发现,我国证券分析师的评级调整行为存在明显的羊群行为。在此基础上,本文构建"修正羊群行为指标",运用面板数据模型研究发现:证券分析师评级调整对证券投资基金的羊群行为具有显著影响,且证券分析师的羊群行为会进一步加剧机构投资者的羊群行为。在实证研究基础上,本文研究认为证券分析师和机构投资者羊群行为的叠加会加剧市场波动性、可能导致流动性枯竭,容易引发市场信息阻塞、定价效率低下甚至引发资产泡沫,论文的最后对我国导致羊群行为叠加的相关诱发原因及其相应的治理机制进行分析和探讨。

This paper studies on recommendation revision of security analysts. By using 3222 samples dated from Jan 2005 to Jun 2010, we find that there is obvious herding when security analysts are making revision. On this basis, this paper constructs adjusted herding measure to adapt to panel data models and find that analysts＇ recommendation revision cast significant influence on the herding of funds and the herding behavior of analysts will aggravate the herding of institutional investors. Based on the empirical results, we think that the overlapping herding of security analysts and institutional investors may exacerbate the market volatility, cause the liquidity depletion, information-blockade and pricing-inefficiencies, or even lead to asset bubbles. Finally, we analysis and discuss the potential reasons of herding-overlapping and the relative governance mechanisms.