This study investigates herd behavior exhibited by pension funds in the sovereign bond market before, during and after the European debt crisis. It uses unique monthly data on sovereign bond holdings of pension funds and transactions between December 2008 and December 2014. The dataset covers 67 large Dutch pension funds that invest in bonds from 109 countries. We find evidence of intensive herd behavior of Dutch pension funds in sovereign bonds. We also distinguish between European countries which suffer from the European debt crisis, such as Cyprus, Greece, Ireland, Italy, Portugal and Spain, and those that have not. We find high sell herding and low buy herding for the crisis countries during the European debt crisis, whereas in the non-crisis period their herd behavior does not differ substantially from that in non-crisis countries. When we control for institutional, macroeconomic, financial market and pension fund factors, sell herding in crisis countries is still significantly higher. However, we find no evidence of destabilizing behavior with respect to bonds of crisis countries during the European debt crisis.

本研究调查了欧洲债务危机之前、期间和之后养老基金在主权债券市场上表现出的羊群行为。它使用了 2008 年 12 月至 2014 年 12 月期间养老基金主权债券持有量和交易的独特月度数据。该数据集涵盖了投资于 109 个国家债券的 67 家大型荷兰养老基金。我们发现了荷兰养老基金在主权债券中的密集羊群行为的证据。我们还区分了遭受欧洲债务危机的欧洲国家，例如塞浦路斯、希腊、爱尔兰、意大利、葡萄牙和西班牙，以及没有遭受债务危机的欧洲国家。我们发现，在欧债危机期间，危机国家的高抛羊群效应和低买入羊群效应，而在非危机时期，它们的羊群行为与非危机国家没有本质区别。当我们控制制度、宏观经济、金融市场和养老基金等因素时，危机国家的羊群效应仍然明显较高。然而，我们没有发现欧洲债务危机期间危机国家债券出现不稳定行为的证据。