机构投资者信息竞争会引发羊群行为吗——基于中国股票市场的证据

Will Information Competition of Institutional Investors Lead to Herd Behavior?Evidences from China's Stock Markets

打破以往基于信息机制的羊群行为生成机理研究框限于信息不对称理论的思维定式,将视角转向机构投资者信息竞争与其羊群行为间的逻辑关系,并根据2005—2017年机构投资者详细持仓数据展开实证检验。研究发现:机构投资者间关于企业私有信息的竞争会引发其羊群行为产生,特别是对于买方羊群行为而言,信息竞争对其影响作用尤为显著;进一步的羊群行为本质甄别结果显示,中国A股市场中由信息竞争引致的机构投资者羊群行为属于非刻意模仿的伪羊群行为,这种基于同质信息的一致反应有助于企业股价信息传递机制的完善,并能起到抑制股价同步现象的作用。

Breaking the previous stereotyped thinking that the researches of the generation mechanism of herd behavior based on information mechanism should be limited to the information asymmetry theory, this paper turns its perspective to the logical relationship between the information competition of institutional investors and their herd behaviors, then it conducts an empirical test according to the detailed positioning data of the institutional investors from 2005 to 2017. The findings show that the competition for the information of private enterprises among institutional investors will lead to the emergence of their herd behaviors, especially for the herd behavior of the buyers; the impact of information competition on it is particularly significant. Further analysis of the nature of the herd behavior shows that the herd behavior of institutional investors caused by information competition in China ’s A-share markets belongs to the pseudo-herd behavior of non-deliberate imitation. This consistent response based on homogenous information can help to perfect the stock price information transmission mechanism and can play a role in suppressing the phenomenon of stock price synchronization.