超常规发展机构投资者并未有效抑制市场波动，侵害中小投资者利益的现象时有发生。为探究中国证券市场的投资者羊群倾向究竟是机构投资者还是个人投资者，本文使用2006年至2016年Wind数据库中年均950家所有可验证的机构数据以及某券商年均40万条个人交易数据，运用LSV模型对投资者羊群行为进行检验，并比较机构投资者与个人投资者的行为差异。在结合投资者发展结构和十年间的市场波动特征后研究发现，无论是公募基金、保险公司、券商、社保基金还是QFⅡ等机构投资者，均具有比个人投资者更显著的羊群效应，个人投资者中仅"大户"在部分年间显示出一定的羊群倾向。研究还创新性地发现了公募基金羊群倾向的季度波动效应，表现为一、三季度和二、四季度的明显差异，且振幅逐年加剧；保险公司的投资行为则趋于成熟缓和。
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.
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