CAJ | 학술논문

在区分群体内和群体间羊群行为的础上，在个股层面和行业层面；从静态和动态的视角，通过扩展和比较羊群行为的Sais测度和FHW测度，实证分析QFⅡ与境内机构投资者羊群行为强度的差异和联系，检验导致QFⅡ羊群行为的原因。研究结果表明，在群体内羊群行为方面。QFⅡ群体内的羊群行为强度明显低于以为代表的境内机构投资者；在群体间羊群行为方面，QFⅡ在行业层面的买入和卖出行为均倾向于追随境内机构投资者，而境内机构投资者倾向于追随同类机构投资者，说明境内机构才是市场波动的“领头羊”，QFⅡ仅处于“从羊”的地位。QFⅡ对于中国股票市场信息掌握较少，从而受到声誉或激励机制等因素的驱动，同时与境内机构共同追逐规模大和流动性高的行业，是导致QFII与境内机构行为趋同的原因。
재구분군체내화군체간양군행위적출상，재개고층면화행업층면；종정태화동태적시각，통과확전화비교양군행위적Sais측도화FHW측도，실증분석QFⅡ여경내궤구투자자양군행위강도적차이화련계，검험도치QFⅡ양군행위적원인。연구결과표명，재군체내양군행위방면。QFⅡ군체내적양군행위강도명현저우이위대표적경내궤구투자자；재군체간양군행위방면，QFⅡ재행업층면적매입화매출행위균경향우추수경내궤구투자자，이경내궤구투자자경향우추수동류궤구투자자，설명경내궤구재시시장파동적“령두양”，QFⅡ부처우“종양”적지위。QFⅡ대우중국고표시장신식장악교소，종이수도성예혹격려궤제등인소적구동，동시여경내궤구공동추축규모대화류동성고적행업，시도치QFII여경내궤구행위추동적원인。
By differentiating within-groups and between-groups of herding behaviors and extending and comparing the herding be-havior measures of Sias and FHW, the paper integrates individual and industrial levels to empirically analyze the differences andconnections of herding behaviors between QFⅡ and domestic institutional investors, and explores the causes of QFⅡ herding be-haviors from dynamic and stationary views. The paper finds that the strength of QFⅡ herding behaviors within-groups is lower thanthe strength of herding behaviors induced by domestic institutional investors （ i. e. , fund）, if the focus is on within-groups her-ding behaviors. Considering between-groups of herding behaviors, the paper finds QFⅡ prefers to follow the domestic institutionalinvestors including buying and selling at the industrial level, whereas domestic institutional investors tend to follow similar institu-tional investors, showing domestic institutional investors are the ＂leader sheep＂ of market fluctuation and QFⅡ is the follower.QFⅡ has less information of China stock markets, leading to be driven by reputation and incentive mechanisms. Meanwhile, QFⅡand domestic institutional investors chase industries with big size and high liquidity, leading them to be similar.