  We study the cross-correlation matrix $C_{ij}$ of inventory variations of the
most active individual and institutional investors in an emerging market to
understand the dynamics of inventory variations. We find that the distribution
of cross-correlation coefficient $C_{ij}$ has a power-law form in the bulk
followed by exponential tails and there are more positive coefficients than
negative ones. In addition, it is more possible that two individuals or two
institutions have stronger inventory variation correlation than one individual
and one institution. We find that the largest and the second largest
eigenvalues ($\lambda_1$ and $\lambda_2$) of the correlation matrix cannot be
explained by the random matrix theory and the projection of inventory
variations on the first eigenvector $u(\lambda_1)$ are linearly correlated with
stock returns, where individual investors play a dominating role. The investors
are classified into three categories based on the cross-correlation
coefficients $C_{VR}$ between inventory variations and stock returns. Half
individuals are reversing investors who exhibit evident buy and sell herding
behaviors, while 6% individuals are trending investors. For institutions, only
10% and 8% investors are trending and reversing investors. A strong Granger
causality is unveiled from stock returns to inventory variations, which means
that a large proportion of individuals hold the reversing trading strategy and
a small part of individuals hold the trending strategy. Comparing with the case
of Spanish market, Chinese investors exhibit common and market-specific
behaviors. Our empirical findings have scientific significance in the
understanding of investors' trading behaviors and in the construction of
agent-based models for stock markets.
