基于X营业部客户数据的证券交易行为特征的实证研究
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摘要
本文以国内某券商某营业部2009年1月1日至2010年12月31日的真实客户委托和资金数据为基础,并依据这些客户两年内的盈利比率水平,从中选出各100名盈利、持平和亏损的客户作为样本组客户。通过对各样本组客户的委托特征、资金比例和基于事件的客户交易行为三个方面的分析,得出各样本组客户在这三个方面的主要交易行为特征,并据此给出相应的证券交易操作建议。
本文由五个部分组成。第一部分是绪论:从我国证券市场的发展入手,介绍了当前我国证券市场的状况,并在文献回顾的基础上,引出本文研究的目的。第二部分是客户的交易特征分析:根据真实的客户交易数据,从各样本组客户的委托特点和时间、持有期、交易价格分布等七个方面,概述各样本组客户在这七个方面的主要交易特征,并分析了这些交易特征与交易结果的联系。第三部分是样本客户的资金比例分配分析:通过对各样本组客户的资金比例和收益的分析,进一步拓展了对各样本组Beta值与收益的研究。第四部分是基于事件的客户交易行为分析:对各样本组客户在连续调整存款准备金比率、公布经济数据、“国四条”出台、特种矿采矿量控制政策公布及2009年年报公布等事件下的交易行为进行观察,并总结出相应的交易特点。第五部分是结论:分别对各样本组在第二、三和四章中的交易特征进行总结和概括。
研究结论表明,各样本组客户在交易操作方面存在差异,并且这些差异影响各样本组客户的持仓成本和收益情况。此外,与传统的金融理论不同,获得高收益的投资者并没有承担高系统风险。根据本文的结论可知,在我国股票市场具有“政策市”的背景下,通过紧跟市场热点、持有长期下跌或近期上涨不多的股票,将有助于降低持仓成本或取得收益。
Using the true client’s account trading data of a branch of one domestic securities company from January 1, 2009 to December 31, 2010, this paper selects 300 clients and equally classifies them into 3 groups in term of rate of return, namely the winner group, the break-even group and the loser group. Then, the paper analyzes the order submission, allocation of capital as well as the trading behavior of post-event of investors and obtains their main characteristics of trading behaviors, which has important implications for establishing sound trading strategies.
This paper is divided into five parts. The first part is the introduction, including the development of Chinese security markets, literature review, and the purpose of this paper. The second part is using the account data to analyze client’s trading characteristics from seven aspects, such as the features and time of order submission, holding period, trading price, etc., and also to examine the relationship between features of trading behaviors and trading result. The third part is analyzing the feature of the allocation of client’s capital, and further investigating the relationship between the return of each group and its beta. The fourth part is the analysis of trading behavior after some influential events were released, such as the continuous adjustments of the deposit reserve ratio from the central bank, the publication of economic statistic, "Country 4" policy release and the announcement of production output control of special ores policy, as well as the release of annual financial statement reports. In the fifth part, we summarize the trading features of each sample group separately and conclude the paper.
The results indicate that there are differences in the trading strategies between the sample groups and these differences affect the costs and return of the clients in different sample groups. Moreover, unlike the results in traditional finance theory, the investors who gain high return do not face high risk. Finally, according the results presented in this paper, we know that under the background in which the Chinese security market has a "policy market", following the trend of security market, holding little long-term decline or the recent rise of stocks is likely to reduce costs or obtain profits.
本文由五个部分组成。第一部分是绪论:从我国证券市场的发展入手,介绍了当前我国证券市场的状况,并在文献回顾的基础上,引出本文研究的目的。第二部分是客户的交易特征分析:根据真实的客户交易数据,从各样本组客户的委托特点和时间、持有期、交易价格分布等七个方面,概述各样本组客户在这七个方面的主要交易特征,并分析了这些交易特征与交易结果的联系。第三部分是样本客户的资金比例分配分析:通过对各样本组客户的资金比例和收益的分析,进一步拓展了对各样本组Beta值与收益的研究。第四部分是基于事件的客户交易行为分析:对各样本组客户在连续调整存款准备金比率、公布经济数据、“国四条”出台、特种矿采矿量控制政策公布及2009年年报公布等事件下的交易行为进行观察,并总结出相应的交易特点。第五部分是结论:分别对各样本组在第二、三和四章中的交易特征进行总结和概括。
研究结论表明,各样本组客户在交易操作方面存在差异,并且这些差异影响各样本组客户的持仓成本和收益情况。此外,与传统的金融理论不同,获得高收益的投资者并没有承担高系统风险。根据本文的结论可知,在我国股票市场具有“政策市”的背景下,通过紧跟市场热点、持有长期下跌或近期上涨不多的股票,将有助于降低持仓成本或取得收益。
Using the true client’s account trading data of a branch of one domestic securities company from January 1, 2009 to December 31, 2010, this paper selects 300 clients and equally classifies them into 3 groups in term of rate of return, namely the winner group, the break-even group and the loser group. Then, the paper analyzes the order submission, allocation of capital as well as the trading behavior of post-event of investors and obtains their main characteristics of trading behaviors, which has important implications for establishing sound trading strategies.
This paper is divided into five parts. The first part is the introduction, including the development of Chinese security markets, literature review, and the purpose of this paper. The second part is using the account data to analyze client’s trading characteristics from seven aspects, such as the features and time of order submission, holding period, trading price, etc., and also to examine the relationship between features of trading behaviors and trading result. The third part is analyzing the feature of the allocation of client’s capital, and further investigating the relationship between the return of each group and its beta. The fourth part is the analysis of trading behavior after some influential events were released, such as the continuous adjustments of the deposit reserve ratio from the central bank, the publication of economic statistic, "Country 4" policy release and the announcement of production output control of special ores policy, as well as the release of annual financial statement reports. In the fifth part, we summarize the trading features of each sample group separately and conclude the paper.
The results indicate that there are differences in the trading strategies between the sample groups and these differences affect the costs and return of the clients in different sample groups. Moreover, unlike the results in traditional finance theory, the investors who gain high return do not face high risk. Finally, according the results presented in this paper, we know that under the background in which the Chinese security market has a "policy market", following the trend of security market, holding little long-term decline or the recent rise of stocks is likely to reduce costs or obtain profits.
引文
[1]中国证券登记结算有限公司.业务统计月报.2011, 4-32.
[2] Griffin J M, Nardari F, Stulz R M. Do investors trade more when stocks have performed well? Evidence from 46 countries. April 9 2005. Working Paper.
[3]张兵.中国股市日历效应研究:基于滚动样本检验的方法[J].金融研究, 2005, (7): 33-44.
[4]程志田.国海证券_MARSI策略_程序化交易策略+A股走势研判策略. 2010年7月12日,研究报告.
[5]严高剑,马坚,李栋.中信证券_准绝对收益型策略研究_CPPI策略及A股实证研究. 2010年6月24日,研究报告.
[6]中华人民共和国证券法. 2006年1月1日执行.
[7]中国证券业协会.证券交易,2008,7-11.
[8]上海证券交易所交易规则. 2006年5月15日.
[9]深圳证券交易所交易规则. 2011年1月17日第二次修订.
[10]张军.结算参与人登记结算基础业务培训. 2010, 07, 78-93.
[11]中国证券登记结算有限责任公司.证券资金结算业务规则制度资料汇编. 2010, 50-73.
[12]孙培源,施东晖.微观结构、流动性与买卖价差:一个基于上海股市的经验研究.世界经济, 2002, (4): 69-72.
[13]郭剑光,孙培源,施东晖.从买卖价差看我国证券市场的流动性水平.证券市场导报, 2003年5月号, 34-38.
[14]仲黎明,刘海龙,吴冲锋.中国股票市场流动性:过高还是过低——一个国际比较视角的分析.当代经济科学,2003, (25): 58-61.
[15]克罗吉,乔志峰.中国股市存在“反应过度”吗?统计与决策, 2005,(5): 108-111.
[16] Chorida T, Roll R, Subrahmanyam A. Recent rends in trading activity. 2010, AFA 2010 Atlanta Meetings Paper.
[17]赵学军,王永宏.中国股市“处置效应”的实证分析.金融研究, 2001, (7): 92-98.
[18]林树,俞乔,汤震宇,周建.投资者“热手效应”与“赌徒谬误”的心理实验研究.经济研究, 2006, (8): 58-69.
[19] Delong J B, Summe L, Waldman R. Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance, 1990, 53: 1839-1886.
[20]吴世农,吴超鹏.我国股票市场“价格惯性策略”和“盈余惯性策略”的实证研究.经济科学, 2003, (4): 41-50.
[21]中国证券业协会.证券交易. 2008, 71-74
[22]何佳,何基报.中国股市重大事件信息披露与股价异动. 2001年11月16日,深证综研字第0044号研究报告.
[23]攀登,邹炎.内幕交易与市场操纵的事件研究.当代经济管理. 2005, 27(5): 129-135.
[24]时勘,范红霞,许均华.个体投资者股市风险认知特征的研究.管理科学学报, 2005, 8(6): 74-76.
[25]李育林,张成虎,吴鸣.我国证券市场对利率反应特性的理论分析与实证研究.东北大学学报(社会科学版), 2009, 11(1): 41-46.
[26]徐炳胜.中国股市波动的金融政策解释.黑龙江教育出版社, 2009-09, 67-72.
[2] Griffin J M, Nardari F, Stulz R M. Do investors trade more when stocks have performed well? Evidence from 46 countries. April 9 2005. Working Paper.
[3]张兵.中国股市日历效应研究:基于滚动样本检验的方法[J].金融研究, 2005, (7): 33-44.
[4]程志田.国海证券_MARSI策略_程序化交易策略+A股走势研判策略. 2010年7月12日,研究报告.
[5]严高剑,马坚,李栋.中信证券_准绝对收益型策略研究_CPPI策略及A股实证研究. 2010年6月24日,研究报告.
[6]中华人民共和国证券法. 2006年1月1日执行.
[7]中国证券业协会.证券交易,2008,7-11.
[8]上海证券交易所交易规则. 2006年5月15日.
[9]深圳证券交易所交易规则. 2011年1月17日第二次修订.
[10]张军.结算参与人登记结算基础业务培训. 2010, 07, 78-93.
[11]中国证券登记结算有限责任公司.证券资金结算业务规则制度资料汇编. 2010, 50-73.
[12]孙培源,施东晖.微观结构、流动性与买卖价差:一个基于上海股市的经验研究.世界经济, 2002, (4): 69-72.
[13]郭剑光,孙培源,施东晖.从买卖价差看我国证券市场的流动性水平.证券市场导报, 2003年5月号, 34-38.
[14]仲黎明,刘海龙,吴冲锋.中国股票市场流动性:过高还是过低——一个国际比较视角的分析.当代经济科学,2003, (25): 58-61.
[15]克罗吉,乔志峰.中国股市存在“反应过度”吗?统计与决策, 2005,(5): 108-111.
[16] Chorida T, Roll R, Subrahmanyam A. Recent rends in trading activity. 2010, AFA 2010 Atlanta Meetings Paper.
[17]赵学军,王永宏.中国股市“处置效应”的实证分析.金融研究, 2001, (7): 92-98.
[18]林树,俞乔,汤震宇,周建.投资者“热手效应”与“赌徒谬误”的心理实验研究.经济研究, 2006, (8): 58-69.
[19] Delong J B, Summe L, Waldman R. Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance, 1990, 53: 1839-1886.
[20]吴世农,吴超鹏.我国股票市场“价格惯性策略”和“盈余惯性策略”的实证研究.经济科学, 2003, (4): 41-50.
[21]中国证券业协会.证券交易. 2008, 71-74
[22]何佳,何基报.中国股市重大事件信息披露与股价异动. 2001年11月16日,深证综研字第0044号研究报告.
[23]攀登,邹炎.内幕交易与市场操纵的事件研究.当代经济管理. 2005, 27(5): 129-135.
[24]时勘,范红霞,许均华.个体投资者股市风险认知特征的研究.管理科学学报, 2005, 8(6): 74-76.
[25]李育林,张成虎,吴鸣.我国证券市场对利率反应特性的理论分析与实证研究.东北大学学报(社会科学版), 2009, 11(1): 41-46.
[26]徐炳胜.中国股市波动的金融政策解释.黑龙江教育出版社, 2009-09, 67-72.