基于个体投资者行为分析的我国证券市场监管研究
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摘要
我国证券市场的散户特征十分明显,个体投资者作为股市的主体力量,已经成为庞大的社会存在,其行为在社会经济生活中的重要性不断增加。任何维护证券市场稳定的监管政策都必须建立在对个体投资者行为以及导致其产生的深层次因素分析的基础之上。本文试图利用实际调查和证券市场统计数据,分析我国个体投资者独特的特征,对其非理性心理(包括风险态度、非理性情绪)、投资决策行为(包括过度自信、信息阻碍下决策行为)进行研究。在此基础上,本文提出了基于行为分析的证券市场监管的新干预主义思路,构建了新干预主义证券市场监管的基本政策设计。
本文主要的研究内容和创新性结论总结如下：
1.传统的投资者理性和有效市场的假设两大基础上的传统证券市场监管模式必须在新的市场发展现实下进行修正。新的证券市场监管思想应该从分析微观个体的心理、行为规律,才能实施更有效的引导和监管策略,推动监管体制的进步完善。特别是对中国证券市场监管来说,独特的社会环境使我国个体投资者有明显有别与西方投资者的特征,更有效的监管研究应该从分析其独特的心理、行为特征等入手,建立相应的市场监管机制,冀以提高我国资本市场的公平度和效率性。
2.本文通过大规模问卷调查研究,从社会特征角度对我国个体投资者分析的结果表明,目前我国个体投资者社会学特征主要表现为年龄趋向于两极化、整体文化程度不高,在投资理念、知识、技巧等方面也不够成熟,普遍存在投机心理,从众行为明显,缺乏长期投资理念等等。这些行为造成证券市场稳定性下降,给股票市场健康发展带来不利影响。
3.我国个体投资者的风险态度总体是风险偏好型的。利用我国6个城市733位个体投资者的调查数据,本文分析了我国投资者的风险态度及其影响因素。结果显示,我国个体投资者的风险态度总体是风险偏好型的,进一步的多变量Logit回归分析发现,投资者的部分个体特质(比如受教育程度、职业)、个人财富状况会显著影响投资者的风险偏好；投资经验的积累会降低其风险系数。一个创新的研究结果是投资者获取信息的渠道和对媒体的信任程度会对投资者风险态度有显著影响。具体来说,信息来源渠道越狭窄,会提高投资者的风险偏好程度；而对新闻媒体的信任程度越低,风险偏好程度也会提高。
4.我国证券市场对波动的反应是异质性的并且受投资者情绪变化的影响。具体来看,将投资者情绪分解成理性和非理性成分后,非理性乐观情绪的增加将导致风险市场价格(MPR)明显的下降,但理性情绪的变动不会对MPR有明显的影响。这意味着当市场投资者情绪是由基础价值变化来决定的时候,市场风险价格不会发生变化。进一步的VAR脉冲响应函数分析结果显示,非理性的情绪并不受理性情绪波动的影响,这意味着非理性情绪不是由基础风险因素决定的。
5.由于缺乏基本的投资经验和专业知识,我国个体投资者普遍存在着过度自信的现象,研究揭示随着股民股龄的增加,其过度自信的程度会降低。这一现象的存在可以理解为是造成了个体投资者的收益明显低于大盘走势的原因所在,同时也加剧了股市的波动风险,为我国证券市场监管带来了新的命题。
6.我国证券市场的信息传播普遍存在着不对称的现象,违规披露、虚假信息、利用内幕信息操纵股价等问题不断出现。本文通过构建信息传递阻碍条件下,个体投资者与机构投资者、上市公司的非完全信息动态博弈模型,揭示了市场上信息被扭曲的情况下,机构投资者和上市公司会利用信息优势侵害个体投资者的利益的原理。这导致了众多违规现象的出现,使广大个体投资者难以做出正确的投资决策,严重影响了证券市场的健康发展。
7.在个体投资者行为分析的基础上,本文提出了证券市场监管的新干预主义。证券市场监管的新干预主义是一种系统性的监管思想,在承认市场主体非理性的前提下,强调监管的必要性和适度性。这一思想的前提是对我国证券市场的监管目标进行重新定位；基本方式是保持证券监管的适度性；在政策设计上应该从投资者资格管理、投资者教育体系的建立、信息实质性披露、媒体中介监管和加强投资者法律保护等五个方面入手进行相应机制的建立和完善。
目前的证券市场监管研究偏重于功能性为基础,以宏观分析为主,从规避系统性风险和投资者保护的角度进行管制。本文对证券市场监管的研究采取了个体主义的新视角和行为主义的分析方法,尝试在对个体投资者行为分析的基础上给出市场监管机制设计。尽管存在一些不足,但希望能对下一步证券市场监管研究和实践提供有益的建议。
The character of China's securities market has a obvious feature, that individual investors are the main force of the stock market and has become a huge social existence, investor behavior in the social life is growing importance. Any supervising policy to maintain a stable stock market must be based on market behavior and lead to the generation of deep-level factor analysis of the foundation. This paper analyzes the investor behavior and the stock market using actual survey data, combined with the unique characteristics of China's individual investors,such as attitudes toward risk,excessive self-confidence, emotional reactions, psychological laws, behavior characteristics and its influencing factors. On this basis, this paper presents a behavior-based analysis of securities market supervision of new interventionist ideas, building a new interventionist policy of securities market supervision.
In this paper, the main content and innovative research findings are summarized as follows:
1. Securities market supervison based on traditional investors rational and efficient market hypothesis must be changed in the new point of view. Microscopic analysis of securities market supervison should be from the individual's mental, behavioral rules, in order to implement more effective guidance and supervision strategies to promote the further improvement of the regulatory regime. In particular, China securities market has a unique social environment, so that our individual investors have obviously different characteristics with Western investors. More effective supervision of securities market should be from the analysis of the unique psychological and behavioral characteristics and other problems.We should establish the appropriate market monitoring mechanism, aiming to improve the degree of China's capital market equity and efficiency.
2.In this paper, large-scale survey research, from the perspective of the social characteristics of individual investors,suggest that the current sociological characteristics of China's individual investors tend to be mainly for the age of polarization, the overall educational level is not high, the investment philosophy knowledge, skills, it is also not mature enough, widespread speculation, herd behavior significantly, the lack of long-term investment philosophy, and so on. The stability of the stock market decline caused by these acts.
3.Attitude of the individual investor's is overall risk preferences in China. Using the survey data from six cities in China and 733 individual investors, this paper analyzes the risk attitude of investors and the factors. The results show that Attitude of the individual investor's is overall risk preferences in China.Further multivariate Logit regression analysis found that some individual characteristics of investors (such as education level, occupation), personal wealth status can significantly affect the investors risk preferences; investment experience will reduce the risk of the accumulation factor. An innovative study that investors access to information and trust in the media attitude towards risk to investors has a significant influence, specifically, the more narrow information sources, will increase investor risk appetite, while the lower level of trust to the media, risk appetite will increase.
4. China's stock market fluctuations in response to the heterogeneity and has a impact of changes in investor sentiment. Specifically, when the investor sentiment is broken down into components of rational and irrational, the irrational optimism will tend to increase the risk of market price (MPR) significantly, but the rational sentiment does not change the impact to MPR. This means that when market sentiment changes because of the base value, the market price of risk does not change. Further VAR impulse response function analysis shows that irrational emotional impact of the admissibility of mood swings, which means it is not from the irrational emotional basis of risk factors.
5. Because the lack of investment experience and expertise, China shareholders have the prevalence of the phenomenon of self-confidence.Study reveals an increase with age investors shares, investors will reduce the degree of overconfidence. The existence of this phenomenon can be understood as a result of the individual investor's income was significantly lower than the market trend of the reason, but also exacerbated the stock market volatility for securities market,and has brought new proposition to supervision in China.
6.China's securities market has a widespread information asymmetries, such as information disclosure violations, false information, the using of insider information to manipulate stock prices and other issues. Considering the transmission of information hindered by building conditions, the paper builds up the incomplete information dynamic game model of individual investors and institutional investors,listed company, reveals that the information is distorted, and institutional investors and listed companies will use information superiority against the individual investor to gain the interests, which will leads to the emergence of many irregularities.Sothat the majority of individual investors is difficult to make the right investment decisions, and this has seriously affected the healthy development of securities markets.
7.Based on the analysis of investor behavior, this paper presents a new idea which is securities market supervision interventionism. The new interventionism securities market supervision is a supervision of systemic thinking, in recognition of market players's non-rational, emphasizing the necessity and proportionality of supervision. This idea is on the premise that the regulatory objectives of China's stock market should be repositioned; basic approach is to maintain the modest nature of securities supervision; policy design should be from qualified investors management, and investor education system and the establishment of substantive information disclosed, Media intermediary supervision and strengthen legal protection of investors.These approach will advances mechanism of securities market supervision in China.
The current research of securities market supervision emphasis on the function of orientation from macro-analysis basement, to avoid systemic risk from the perspective of investor protection. This paper has taken a new perspective of individualism and behavioral methods of analysis, try to analyze the behavior of individual investors, and gives out market monitoring mechanism design. Despite of some shortcomings, the paper try to provide some useful suggestions to the research and practice to securities market supervision.
本文主要的研究内容和创新性结论总结如下：
1.传统的投资者理性和有效市场的假设两大基础上的传统证券市场监管模式必须在新的市场发展现实下进行修正。新的证券市场监管思想应该从分析微观个体的心理、行为规律,才能实施更有效的引导和监管策略,推动监管体制的进步完善。特别是对中国证券市场监管来说,独特的社会环境使我国个体投资者有明显有别与西方投资者的特征,更有效的监管研究应该从分析其独特的心理、行为特征等入手,建立相应的市场监管机制,冀以提高我国资本市场的公平度和效率性。
2.本文通过大规模问卷调查研究,从社会特征角度对我国个体投资者分析的结果表明,目前我国个体投资者社会学特征主要表现为年龄趋向于两极化、整体文化程度不高,在投资理念、知识、技巧等方面也不够成熟,普遍存在投机心理,从众行为明显,缺乏长期投资理念等等。这些行为造成证券市场稳定性下降,给股票市场健康发展带来不利影响。
3.我国个体投资者的风险态度总体是风险偏好型的。利用我国6个城市733位个体投资者的调查数据,本文分析了我国投资者的风险态度及其影响因素。结果显示,我国个体投资者的风险态度总体是风险偏好型的,进一步的多变量Logit回归分析发现,投资者的部分个体特质(比如受教育程度、职业)、个人财富状况会显著影响投资者的风险偏好；投资经验的积累会降低其风险系数。一个创新的研究结果是投资者获取信息的渠道和对媒体的信任程度会对投资者风险态度有显著影响。具体来说,信息来源渠道越狭窄,会提高投资者的风险偏好程度；而对新闻媒体的信任程度越低,风险偏好程度也会提高。
4.我国证券市场对波动的反应是异质性的并且受投资者情绪变化的影响。具体来看,将投资者情绪分解成理性和非理性成分后,非理性乐观情绪的增加将导致风险市场价格(MPR)明显的下降,但理性情绪的变动不会对MPR有明显的影响。这意味着当市场投资者情绪是由基础价值变化来决定的时候,市场风险价格不会发生变化。进一步的VAR脉冲响应函数分析结果显示,非理性的情绪并不受理性情绪波动的影响,这意味着非理性情绪不是由基础风险因素决定的。
5.由于缺乏基本的投资经验和专业知识,我国个体投资者普遍存在着过度自信的现象,研究揭示随着股民股龄的增加,其过度自信的程度会降低。这一现象的存在可以理解为是造成了个体投资者的收益明显低于大盘走势的原因所在,同时也加剧了股市的波动风险,为我国证券市场监管带来了新的命题。
6.我国证券市场的信息传播普遍存在着不对称的现象,违规披露、虚假信息、利用内幕信息操纵股价等问题不断出现。本文通过构建信息传递阻碍条件下,个体投资者与机构投资者、上市公司的非完全信息动态博弈模型,揭示了市场上信息被扭曲的情况下,机构投资者和上市公司会利用信息优势侵害个体投资者的利益的原理。这导致了众多违规现象的出现,使广大个体投资者难以做出正确的投资决策,严重影响了证券市场的健康发展。
7.在个体投资者行为分析的基础上,本文提出了证券市场监管的新干预主义。证券市场监管的新干预主义是一种系统性的监管思想,在承认市场主体非理性的前提下,强调监管的必要性和适度性。这一思想的前提是对我国证券市场的监管目标进行重新定位；基本方式是保持证券监管的适度性；在政策设计上应该从投资者资格管理、投资者教育体系的建立、信息实质性披露、媒体中介监管和加强投资者法律保护等五个方面入手进行相应机制的建立和完善。
目前的证券市场监管研究偏重于功能性为基础,以宏观分析为主,从规避系统性风险和投资者保护的角度进行管制。本文对证券市场监管的研究采取了个体主义的新视角和行为主义的分析方法,尝试在对个体投资者行为分析的基础上给出市场监管机制设计。尽管存在一些不足,但希望能对下一步证券市场监管研究和实践提供有益的建议。
The character of China's securities market has a obvious feature, that individual investors are the main force of the stock market and has become a huge social existence, investor behavior in the social life is growing importance. Any supervising policy to maintain a stable stock market must be based on market behavior and lead to the generation of deep-level factor analysis of the foundation. This paper analyzes the investor behavior and the stock market using actual survey data, combined with the unique characteristics of China's individual investors,such as attitudes toward risk,excessive self-confidence, emotional reactions, psychological laws, behavior characteristics and its influencing factors. On this basis, this paper presents a behavior-based analysis of securities market supervision of new interventionist ideas, building a new interventionist policy of securities market supervision.
In this paper, the main content and innovative research findings are summarized as follows:
1. Securities market supervison based on traditional investors rational and efficient market hypothesis must be changed in the new point of view. Microscopic analysis of securities market supervison should be from the individual's mental, behavioral rules, in order to implement more effective guidance and supervision strategies to promote the further improvement of the regulatory regime. In particular, China securities market has a unique social environment, so that our individual investors have obviously different characteristics with Western investors. More effective supervision of securities market should be from the analysis of the unique psychological and behavioral characteristics and other problems.We should establish the appropriate market monitoring mechanism, aiming to improve the degree of China's capital market equity and efficiency.
2.In this paper, large-scale survey research, from the perspective of the social characteristics of individual investors,suggest that the current sociological characteristics of China's individual investors tend to be mainly for the age of polarization, the overall educational level is not high, the investment philosophy knowledge, skills, it is also not mature enough, widespread speculation, herd behavior significantly, the lack of long-term investment philosophy, and so on. The stability of the stock market decline caused by these acts.
3.Attitude of the individual investor's is overall risk preferences in China. Using the survey data from six cities in China and 733 individual investors, this paper analyzes the risk attitude of investors and the factors. The results show that Attitude of the individual investor's is overall risk preferences in China.Further multivariate Logit regression analysis found that some individual characteristics of investors (such as education level, occupation), personal wealth status can significantly affect the investors risk preferences; investment experience will reduce the risk of the accumulation factor. An innovative study that investors access to information and trust in the media attitude towards risk to investors has a significant influence, specifically, the more narrow information sources, will increase investor risk appetite, while the lower level of trust to the media, risk appetite will increase.
4. China's stock market fluctuations in response to the heterogeneity and has a impact of changes in investor sentiment. Specifically, when the investor sentiment is broken down into components of rational and irrational, the irrational optimism will tend to increase the risk of market price (MPR) significantly, but the rational sentiment does not change the impact to MPR. This means that when market sentiment changes because of the base value, the market price of risk does not change. Further VAR impulse response function analysis shows that irrational emotional impact of the admissibility of mood swings, which means it is not from the irrational emotional basis of risk factors.
5. Because the lack of investment experience and expertise, China shareholders have the prevalence of the phenomenon of self-confidence.Study reveals an increase with age investors shares, investors will reduce the degree of overconfidence. The existence of this phenomenon can be understood as a result of the individual investor's income was significantly lower than the market trend of the reason, but also exacerbated the stock market volatility for securities market,and has brought new proposition to supervision in China.
6.China's securities market has a widespread information asymmetries, such as information disclosure violations, false information, the using of insider information to manipulate stock prices and other issues. Considering the transmission of information hindered by building conditions, the paper builds up the incomplete information dynamic game model of individual investors and institutional investors,listed company, reveals that the information is distorted, and institutional investors and listed companies will use information superiority against the individual investor to gain the interests, which will leads to the emergence of many irregularities.Sothat the majority of individual investors is difficult to make the right investment decisions, and this has seriously affected the healthy development of securities markets.
7.Based on the analysis of investor behavior, this paper presents a new idea which is securities market supervision interventionism. The new interventionism securities market supervision is a supervision of systemic thinking, in recognition of market players's non-rational, emphasizing the necessity and proportionality of supervision. This idea is on the premise that the regulatory objectives of China's stock market should be repositioned; basic approach is to maintain the modest nature of securities supervision; policy design should be from qualified investors management, and investor education system and the establishment of substantive information disclosed, Media intermediary supervision and strengthen legal protection of investors.These approach will advances mechanism of securities market supervision in China.
The current research of securities market supervision emphasis on the function of orientation from macro-analysis basement, to avoid systemic risk from the perspective of investor protection. This paper has taken a new perspective of individualism and behavioral methods of analysis, try to analyze the behavior of individual investors, and gives out market monitoring mechanism design. Despite of some shortcomings, the paper try to provide some useful suggestions to the research and practice to securities market supervision.
引文
①张新登,证券监管的经济学分析,2008,上海三联书店。
①默顿(1996)在《continuous finance》中认为：连续时间金融问题,…,就是不确定性和时间。
②Andrei Shleifer并非有效的市场-行为金融学导论
①萨缪尔森,1962。
②方法论上的“个人主义”来自于熊彼特1908年首次使用这个说法。
①严格来说,有限理性与非理性是有区别的。非理性(Irrationality)足指超越一切理智的、神秘的直觉和情感能力的总和,包括意志、我意识、冲动、灵感、情绪和感应等。它是超逻辑的和非条理性的。在行为方式上,非理性体现为人的行为受不要预知的、无规律的力量(潜意识)支配,理智难以约束控制个体。而有限理性(Bounded Rationality)足指人在理性的基础上,认知能力有限,信息处理能力有限,判断能力和偏好体系不稳定等特征。有限理性从来没有否认逻辑思维,它即考虑人的心理和行为的理性部分,也关注其非理性部分。本文只讨论有限理性投资者,并不认为人完全是非理性的。但从概念逻辑上,本文不再严格区分非理性和有限理性,特此说明。
② Simon H. A.,Rational Choice and the Structure of the En vironment.Psychological Review,1956 (2):129-138.
①对股市盈利的道德观是指投资者对从股市中赚取的利润的看法。最近的研究证明许多投资者认为投资股票赚取的利润是不道德、不公平的,是靠投机和赌博赚取的收益,而不是通过正常的工作劳动。(Weber,2002: Wood & Zaichkowsky,2004).
①比如吴卫星(2007)、李涛(2009)。
②在为虚拟而非现实的游戏定价时,被试者通常会给出常低的支付价格,这样计算的风险态度可能高估了被试者的真实风险态度。更详细的影响机制可以参阅：谢识r等.两次风险态度实验研究及其比较分析,金融研究,2007.11。
③这种效应的存在性在Binswanger(1980)对印度农民的实验、Holt和Laury(2002),Hanison(2007)的实验结果中都得到了验证[57][58][59]。
①相关研究见于李心丹(2004)、谭松涛(2006)。
①李心丹(2004)、谭松涛(2006)。
①张新,陈帼钊.美国证券市场监管体制改革与信用制度重建及对新兴证券市场的启发.经济政治体制比较,2002(3)。
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①默顿(1996)在《continuous finance》中认为：连续时间金融问题,…,就是不确定性和时间。
②Andrei Shleifer并非有效的市场-行为金融学导论
①萨缪尔森,1962。
②方法论上的“个人主义”来自于熊彼特1908年首次使用这个说法。
①严格来说,有限理性与非理性是有区别的。非理性(Irrationality)足指超越一切理智的、神秘的直觉和情感能力的总和,包括意志、我意识、冲动、灵感、情绪和感应等。它是超逻辑的和非条理性的。在行为方式上,非理性体现为人的行为受不要预知的、无规律的力量(潜意识)支配,理智难以约束控制个体。而有限理性(Bounded Rationality)足指人在理性的基础上,认知能力有限,信息处理能力有限,判断能力和偏好体系不稳定等特征。有限理性从来没有否认逻辑思维,它即考虑人的心理和行为的理性部分,也关注其非理性部分。本文只讨论有限理性投资者,并不认为人完全是非理性的。但从概念逻辑上,本文不再严格区分非理性和有限理性,特此说明。
② Simon H. A.,Rational Choice and the Structure of the En vironment.Psychological Review,1956 (2):129-138.
①对股市盈利的道德观是指投资者对从股市中赚取的利润的看法。最近的研究证明许多投资者认为投资股票赚取的利润是不道德、不公平的,是靠投机和赌博赚取的收益,而不是通过正常的工作劳动。(Weber,2002: Wood & Zaichkowsky,2004).
①比如吴卫星(2007)、李涛(2009)。
②在为虚拟而非现实的游戏定价时,被试者通常会给出常低的支付价格,这样计算的风险态度可能高估了被试者的真实风险态度。更详细的影响机制可以参阅：谢识r等.两次风险态度实验研究及其比较分析,金融研究,2007.11。
③这种效应的存在性在Binswanger(1980)对印度农民的实验、Holt和Laury(2002),Hanison(2007)的实验结果中都得到了验证[57][58][59]。
①相关研究见于李心丹(2004)、谭松涛(2006)。
①李心丹(2004)、谭松涛(2006)。
①张新,陈帼钊.美国证券市场监管体制改革与信用制度重建及对新兴证券市场的启发.经济政治体制比较,2002(3)。
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