CAJ | 학술논문

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”。
통과운용2009～2013년아국A고시장상궤구투자자상관지고수거화상관고표급시장적수익솔수거，대고표시장상존재적궤구투자자양군행위화고개동보성현상진행료분석，병실증검험료궤구투자자양군행위대고개동보성적영향。연구발현：궤구투자자양군행위여고개동보성정현저적부상관관계，설명궤구투자자양군행위회증가궤구투자자대상시공사기본면화특질신식적알굴，종이사공사특질신식경호지융입고개당중，강저고표적고개동보성，종이증실궤구투자자적양군행위취시“위양군행위”。
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 synchronicity as well as the effect of institutional investors’ herd behavior on stock price synchronicity 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.