机构投资者羊群行为现状、形成原因及对策研究
摘
要
随着全球证券市场的发展，包括但不限于中国资本市场在内的众多市场，尤其是新
兴市场开始出现一些奇怪的现象，例如经典的资本资产定价模型无法准确地反映出股票
价格波动的异常情况，这当然是由很多方面的因素导致，但其中有一个重要的原因就是
市场中源源不断涌现出来的羊群效应，尤其是机构投资者的羊群行为。这既不利于吸引
各种投资风格的不同投资者进场交易，又对即便进场参与交易的投资者的投资行为造成
扰动，也不利于主管部门对市场进行正常的监管和引导，从而阻碍市场的平稳健康发展。
本文聚焦中国证券市场机构投资者的羊群行为，研究分析了机构投资者羊群行为现
状、形成原因及对证券市场股票价格波动的影响等方面。本文的研究发现，首先中国机
构投资者在投资股票的时候存在显著的羊群行为，而且无论是在何种规模的股票上，机
构投资者的羊群行为普遍存在；其次机构投资者在股票交易策略的选择上，通常会选用
正反馈交易这一手段；最后不同投资风格的机构投资者的羊群行为存在着明显的差异。
论文进一步分析了导致机构投资者羊群行为的原因，包括但不限于对机构投资评价方法
缺乏科学性有一定的关系，一是评价的时间周期比较短，二是评价的维度比较单一；还
有机构投资者新发基金产品对原有产品的模仿也比较严重等等方面的原因。本文的研究
将有利于包括但不限于市场监管部门、机构投资者、个人投资者在内的所有证券市场参
与者正视羊群效应的存在，为投资者完善、改进自己的投资行为，为市场监管部门制定
合适的监管机制，正确引导市场健康发展提供有价值的参考。
关键词：机构投资者；羊群行为；中国股市；指数；模型
I

Abstract
Abstract
With the development of global securities markets, many markets, including but not
limited to China’s capital markets, especially emerging markets, began to see some strange
phenomena, for example, the classical capital asset pricing model can not accurately reflect the
abnormal situation of stock price fluctuation, which is of course caused by many factors, but
one of the main reasons for this is the growing herd instinct in the market, especially among
institutional investors. This is not conducive to attracting different investors of various
investment styles to enter the market, it is also detrimental to the normal supervision and
guidance of the market by the competent authorities, and it causes disturbance to the investment
behavior of the investors who enter the market and participate in the trade, thereby impeding
the smooth and healthy development of the market.
This thesis focuses on the herding behavior of institutional investors in China’s securities
market, and analyzes the status quo of herding behavior of institutional investors, its causes and
its impact on the stock price fluctuation. Firstly, there is significant herding behavior of Chinese
institutional investors when they invest in stocks, and the herding behavior of institutional
investors is common in all kinds of stocks. Secondly, institutional investors usually choose
positive feedback trading as their stock trading strategy, and finally, there are obvious
differences in herding behavior among institutional investors with different investment styles.
The thesis further analyzes the causes of the herding behavior of institutional investors,
including but not limited to the lack of scientific evaluation methods of institutional investment,
one is that the evaluation period is relatively short, second, the dimension of evaluation is
relatively single, and New Fund products of the Old Fund products imitation is also more
serious and so on. The study of this thesis will help all participants including but not limited to
market regulators, institutional investors and individual investors to face up to the existence of
herd behavior and perfect and improve their investment behavior for investors, it provides
valuable reference for the market supervision department to work out the appropriate
supervision mechanism and guide the market to develop healthily.
Key Words: Institutional investor; Herd behavior; China's stock market; Index; Model
II

机构投资者羊群行为现状、形成原因及对策研究
目录
1绪论.............................................................................................................................. 1
1.1研究背景和意义............................................................................................... 1
1.1.1研究背景和问题的提出........................................................................ 1
1.1.2研究意义................................................................................................ 1
1.2国内外研究现状............................................................................................... 2
1.2.1国外研究现状........................................................................................ 3
1.2.2国内研究现状........................................................................................ 6
1.2.3国内外研究评述.................................................................................... 7
1.3研究方法和技术路线....................................................................................... 9
1.3.1研究方法................................................................................................ 9
1.3.2技术路线.............................................................................................. 10
1.4研究的主要内容............................................................................................. 10
1.5研究的创新之处............................................................................................. 10
2投资者羊群行为特征、形成原因及对股票价格影响方面相关理论.................... 12
2.1羊群行为对股票价格波动影响的界定及影响的机制................................. 12
2.2羊群行为特征、形成原因及对股票价格波动影响的特点和适用原则..... 13
2.2.1羊群行为形成原因及对股票价格波动影响的特点.......................... 13
2.2.2羊群行为形成原因及对股票价格波动影响的适用原则.................. 14
3研究设计.................................................................................................................... 16
3.1理论分析与研究假设..................................................................................... 16
3.2样本选取与数据来源..................................................................................... 16
3.3模型设计与变量定义..................................................................................... 17
4实证结果分析............................................................................................................ 20
4.1描述性统计分析............................................................................................. 20
4.2相关性分析..................................................................................................... 22
4.3机构投资者羊群行为影响下收益对比分析................................................. 24
5实证结论及原因分析................................................................................................ 26
5.1实证结论......................................................................................................... 26
5.2机构投资者羊群行为产生的原因简析......................................................... 27
6对策............................................................................................................................ 31
6.1降低羊群行为对股票价格波动带来不利影响的完善原则......................... 31
6.2降低羊群行为对股票价格波动带来不利影响的对策................................. 32
6.2.1完善证券市场监管体系建设.............................................................. 32
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