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The economiccontains many theoretical and empirical analyses of non-sequential herd behavior but relatively few studies of sequential herd behavior.This paper aims to address that shortcoming. Incomplete information static game model shows that individual investors will always judge the dealers situation according to the pseudo signal that the institutional investor send, and then make their decisions. The larger amount of the stocks volume held by institutional investors, or the more the false information, the less the individual investors profit. Empirical herd behavior test based on data sample from 2010-08-30 to 2011-03-03 of each transaction records of all the stock trading in Shanghai securities market indicates that: 1)Significant sequential herding behavior of individual investor to institutional investor was found. 2) Individual investors show positive feedback to the change of market return and institutional investors behavior in the same period, which infer that individual investors can get trading information and react to it in a very short period. Institutional investors have positive feedback to one-period lag market information. 3) According to the test results, we can infer that individual investors are not information investor.As to institutional investors, they can influence individual investors and the whole market.Even if they dont have more information about the market they can manipulate the market by using their capital power and their influence power to individual investors behavior.