基于股价同步性视角的机构投资者羊群行为研究

Research of Herd Behavior among Institutional Investors in the Perspective of Stock Price Synchronicity

通过运用2009～2013年我国A股市场上机构投资者相关持股数据和相关股票及市场的收益率数据，对股票市场上存在的机构投资者羊群行为和股价同步性现象进行了分析，并实证检验了机构投资者羊群行为对股价同步性的影响。研究发现：机构投资者羊群行为与股价同步性呈显著的负相关关系，说明机构投资者羊群行为会增加机构投资者对上市公司基本面和特质信息的挖掘，从而使公司特质信息更好地融入股价当中，降低股票的股价同步性，从而证实机构投资者的羊群行为就是“伪羊群行为”。

Using the related data of holding stock and yield rate of stocks and market, which comes from the A share market in China from 2009 to 2013, this paper analyzes herd behavior among institutional investors in stock market and the phenomenon of stock price synehronicity as well as the effect of institutional investors＇ herd behavior on stock price synehronicity by empirical test. It is found that there is significant negative correlation between herd behavior of institutional investors and stock price syn-chronicity. This means that the herd behavior encourages institutional investors to mine fundamental and special information of the listed company. As a result, the company＇s specific information will integrate into stock prices more smoothly and the stock price synchronicity fades, which confirms the ＂pseudo effect＂ of the herd behavior of institutional investors.