| China's securities market has a history of more than 20 years,and it has made great progress but also has some shortcomings.For example,in 2015,there were many extreme situations,which greatly discouraged the enthusiasm of investors and hindered the healthy development of the market.At present,the investor structure of China's securities market is different from that of institutional investors in developed markets such as the United States,with individual investors accounting for as much as 30%.The proportion in the United States is only 15%,and that in Britain and Japan is even lower.Due to individual investors in different educational background,market experience,often trading frequency is too high,easy to chase after go up kill drop,institutional investors,investment style to long-term value investment,not easily influenced by short-term market mood swings,so the structure of the differences is one of the reasons for the Chinese stock market volatility is relatively severe.This paper focuses on the "double-herding effect" caused by institutional and individual investors and its impact on stock market volatility.Among the existing classical research methods of herd behavior,LSV model is suitable for securities investment funds,while CCK model is suitable for testing the herd behavior of the market as a whole,and they can only reflect the static herd behavior within a sample period.In order to better study the differences in herding behavior between individual and institutional investors,this paper adopts the model proposed by Li,Rhee and Wang(2017),which is more suitable for grouping different types of investors.Investors are classified by trading volume threshold,and the dynamic changes of SSE 180 from June 2014 to June 2016 during a complete bull and bear market are explored with the uhf trading data every 5 seconds.Finally,according to the herding measurement of the two,the influence of the two on the stock market volatility is analyzed.This paper divides the sample interval into three stages: overall,rising and falling.The results show that there is indeed herding effect in the SSE 180 index during the sample period,and it is more obvious in the declining stage.But different herding degree of different types of investors,individual investors' herd behavior is always better than institutional investors,and the index rose,individual herding intensity decreased significantly,when the index fell,personal strength enhanced obviously,herding intensity changes institutional investors are accord with the law,but the change process is not so sensitive individuals.It is found that selling herding behavior of individuals and institutions is always more obvious than buying herding behavior.This paper believes that the reason for this phenomenon is that in the bull market,investors' risk appetite increases,and some stocks chasing higher beta appear,which increases the dispersion degree between individual stock yield and market yield,namely,the herd effect weakens.On the contrary,when the stock index falls rapidly at the beginning of the bear market,investors are affected by the panic mood and sell high-risk stocks at the same time.The earnings of individual stocks and the market earnings fall together,making the dispersion degree of the two decrease,that is,the herd effect increases.When exploring the influence of "doubleherding effect" on the stock market volatility,it is found that the herding behavior of individual investors has no influence on the stock market volatility,while institutional investors,which are generally considered to play the role of "stabilizer",are likely to cause panic among other investors in the stage of stock market decline and cause violent market fluctuations. |
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