A Model of Leader-Follower in the Securities Market
资本市场中的头羊-从羊模型

It is common in the Chinese securities market for the individual investors to herd on the institutional investors. This article builds a model of leader\|follower for this special phenomenon. Through certain assumptions and calculations, the model finds that the herding behavior increases the volatility of the market price, and that the leaders gain more profit than the followers in most circumstances. But as the amount of the leader increases and the noise in the signal that the leaders receive increases, the difference between the profit of the leader and the followers decreases. Finally, based on the conclusion of the model, we propose some advices to stabilize the market, to improve the structure of the market and to increase the informational efficiency of the market.