Short‐term Herding of Institutional Traders: New Evidence from the German Stock Market
使用德国股市所有金融机构交易的日度数据，发现机构投资者存在每日羊群行为，但短期羊群行为在小盘股或市场压力时期并不更显著，且基于匿名交易的羊群度量可能误导对金融危机期间行为的判断。
Abstract This paper employs a new and comprehensive data set to investigate short‐term herding behaviour of institutional investors. Using data of all transactions made by financial institutions in the German stock market, we show that herding behaviour occurs on a daily basis. However, in contrast to longer‐term herding measures obtained from quarterly data, results based on daily data do not indicate that short‐term herding tends to be more pronounced in small capitalised stocks or in times of market stress. Moreover, we find that herding measures based on anonymous transactions can lead to misleading results about the behaviour of institutional investors during the recent financial crisis .