Herd Effect Correlation Between Institutionaland Individual Investors

Along with the gradual improvement of our financial system and the resulting structurization of the micro-market main body,the participants of the micro-market in the stock market are playing an increasingly important role,as well as the investment behavior of institutions and individual investors.Herd effect,as an irrational product of investors giving up self-judgment and blindly following the trend,aggravates the volatility of the securities market and disrupts the stable development of the market to some extent.Therefore,it is of great practical significance to study the herd effect of institutions and individual investors.Based on the different investment characteristics of the two types of investors,this paper measures the herd effect of institutional investors and individual investors,and studies the correlation and internal mechanism of the herd effect of the two types of investors.In terms of theoretical research,this paper analyzes the generation mechanism and influence mechanism of herd effect between individual investors and institutional investors through strategic interaction model and evolutionary game model.Firstly,this paper establishes an interactive model of herding behavior strategies between institutional and individual investors,and expounds the generation mechanism of herding behavior between the two types of investors.Secondly,this paper establishes an asymmetric dynamic evolutionary game model,and studies the whole process of dynamic evolution of herd behavior of institutional and individual investors under the framework of game theory.In terms of empirical research,this paper chooses intra-day high-frequency data with hourly intervals for existence test.Compared with daily,monthly and quarterly data,intra-day high-frequency data can better capture small changes in the market in a short period of time and has stronger explanatory power for herd effect.Firstly,this paper uses the classical CCK model to test the existence and intrinsic characteristics of the overall herd effect in the market.Secondly,distinguishing individual and institutional investors,this paper analyzes the characteristics of herd effect of the two specific trading groups,and studies the difference between them.The results show that: the herd effect exists in the CSI 300 constituent stocks during the sample time,especially in the period of declining stock price.Difference between the degree of herding behavior from each trading group exists,but the change among individual investors is always more drastic than that among the institutions,which shows a strengthening trend in the decline stage as well.After the existence test,this paper enters into the empirical test of the correlation between institutional and individual investors’ herd effect.Firstly,the DCC-GARCH model is innovatively adopted to study the dynamic correlation coefficient between institutional and individual investors’ herd effect during the sample period.The results showed that the dynamic correlation coefficients is always positive and oscillates significantly during the epidemic period.Finally,a SVAR model is established to study the internal influence mechanism of individuals on institutions and institutions on individuals by impulse effect analysis.The results show that the influence of individual investors is much stronger than that of institutional investors,and there is a lag compared with institutional investors.At present,the research on the correlation between institutional and individual investors remains in the stage of theoretical analysis,and there is a gap in empirical test.This paper combines theory with empirical analysis to provide reference for subsequent relevant studies of scholars.