Overdeveloping institutional investors did not restrain the market fluctuation. It infringed on the benefits of small and medium investors. Based on the annual average 950 institutional investors' trading data in Wind database and annual average 400000 pieces of individual investors' trading data in a certain security company, LSV models are used to test the herding behavior from 1st quarter of 2006 to 1st quarter of 2016 in China's securities market.The differences of herding behavior between institution and individual investors are analyzed and the characteristics of investors' structure and market volatility are mainly combined. The results indicate that the institutional investors show typical herd effect, like public funds, insurance companies, securities companies, social security funds and QFⅡ. individual investors generally do not have significant herding behavior, only the individual investors of large money show significant herding behavior in certain years.The results also show the public funds' herding behavior is different in 1st, 3rd quarters and 2nd, 4th quarters, and the amplitude increases year by year. The herding behavior of insurance companies is easing. This research provides empirical data for further research and has certain practical values.
YAO Lu-shi, WU Ning-ning
. A Study on Herding Behavior of Institution and Individual Investors Based on LSV Model[J]. Chinese Journal of Management Science, 2018
, 26(7)
: 55
-62
.
DOI: 10.16381/j.cnki.issn1003-207x.2018.07.007
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