Research on the Difference of the Herding Bebavior of Institutional Investors and Individual Investors

根据上证180指数成分股数据和topview投资者日持股数据,利用横截面交易量标准差分析了机构投资者和个人投资者的羊群行为差异。研究表明,机构投资者的羊群行为可能是信息较为充分利用的结果,个人投资者的羊群行为则具有更多的非理性因素。This article analyzes the difference of the herding behavior of institutional investors and individual investors by using the data on the 180 index constituent stocks and “top view”investors' holding stocks with the way by measuring “cross sectional standard deviation of trading volume”. The authors explain the above phenomena with asymmetric information，this indicates that the herding behavior of institutional investors is the result of full use of information，but individual investors maybe behave more irrationally.教育部人文社科基金项目“异质信念、卖空限制和我国股市暴涨暴跌机制研究”(08JA790109