CAJ | 학술논문

本文利用TopView的投资者仓位变化和账户数变化的日数据,将投资者羊群行为定义为投资者持有各只股票仓位变化的标准差,详细探讨机构投资者与个人投资者羊群行为的差异。结果显示在中国资本市场上：（1）机构投资者的羊群行为比个人投资者的羊群行为更明显;（2）个人投资者的交易行为难以模仿机构投资者的交易行为。本文从羊群行为这个角度展示中国资本市场的微观结构,有助于投资者和学者更加深刻地理解中国资本市场的本质。
본문이용TopView적투자자창위변화화장호수변화적일수거,장투자자양군행위정의위투자자지유각지고표창위변화적표준차,상세탐토궤구투자자여개인투자자양군행위적차이。결과현시재중국자본시장상：（1）궤구투자자적양군행위비개인투자자적양군행위경명현;（2）개인투자자적교역행위난이모방궤구투자자적교역행위。본문종양군행위저개각도전시중국자본시장적미관결구,유조우투자자화학자경가심각지리해중국자본시장적본질。
Based on TopView data,this paper defines herding behavior as the deviation of investor position change.The empirical results indicate the herding behavior difference between institutional investor and individual investor.In short run,institutional investor＇s herding behavior is more apparent than individual investor＇s herding behavior,but individual investor＇s trading behavior doesn＇ t copy institutional investor＇ s trading behavior. From the perspective of herding behavior,this paper clearly demonstrates China＇s capital market micro-structure, and helps investors and scholars to deeply understand the nature of China＇s capital market.