中国证券投资者结构和行为实证研究
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摘要
美国金融危机爆发表明,对国际和国内金融体系来说,资本市场的健康发展和金融体系的安全是尤为重要。构成资本市场的主体是投资者,投资者结构和行为与资本市场之间是一种互动机制。一方面,投资者结构的完善、投资者行为的规范会对资本市场的健康发展起到积极的促进作用,如：降低市场波动,促进市场流通,信息传递充分迅速；另一方面,资本市场对投资者结构和行为也具有重要的影响——健康的市场环境能够促进投资者结构和行为的良性循环,如：结构优化、专业水准提高、投资理念的培育和投资风格多元化等,而不良的市场环境往往导致投资者结构恶化且行为更加的不理性。
与成熟市场相比,我国的资本市场存在投资者结构严重失调,个人投资者占绝对多数,机构较少；非专业化机构投资者持股比例大,专业化机构投资者持股较少；投资者整体素质较低,违规行为多；市场的投资风格单一、不利于股市稳定；基金发展过快,社保基金、企业年金、保险等刚起步,个人投资者队伍过于庞大等等一系列投资者结构和行为上的问题,使得对投资者结构和行为进行深入研究是非常必要的。至今国内外没有一个关于“资本市场应该有一个什么样的投资者结构”的理论叙述和研究成果,因此关于我国资本市场中投资者结构和行为的研究具有较强的理论价值和现实意义。
本论文的研究结构与内容如下：
本论文共有7个章节：第1章为引论,给出本论文的研究目的、意义、方法、框架、创新性成果等。第2章为国内外文献综述,按照行为金融学的发展脉络,从行为金融学的心理研究、行为金融学的定价研究以及行为金融学的实证研究三个方面归纳与总结了国内外的研究现状并给予了评述。第3章为样本数据与我国证券投资者结构,这是本论文的主要部分的开端,给出本论文的数据分类与研究基础,接下来的4、5、6章为本论文的研究重点。第4章为我国证券投资者的交易策略,包括动量反转策略、周内交易策略、市场走势策略及价值/成长策略。第5章为我国证券投资者的交易行为,包括对异常交易量股票的交易行为、对极端收益率股票的交易行为、对高换手率股票的交易行为、对涨跌停板股票的交易行为、对IPO股票的交易行为、对13个行业股票的交易行为。第6章为我国证券投资者的预测能力,包括在不同市场走势和不同股票选择上的预测能力。第7章给出本论文的主要结论、政策建议、存在的不足及进一步改进的方向。
本论文的主要结论如下：
经过详细的统计分析我们得出,无论从交易金额、交易人数还是开户人数的角度,总体上个人投资者都是股票交易的主力军,细分后个人投资者中的小个人组是股票交易的主力军,投资基金是机构投资者的主力军。
我国的机构投资者较个人投资者而言,是理性成熟的投资者；个人投资者是非理性不成熟的投资者。在个人投资者中,大个人组和中个人组较小个人组而言,是理性成熟的投资者,与机构的行为相似；小个人组是非理性不成熟投资者。
因此,我国应合理发展机构投资者,为机构投资者的发展给予政策扶持,提倡小散户利用专业投资机构进行投资,使我国证券投资者结构向机构投资者为主体的方向发展；大力规范投资者行为,尤其是小散户行为,对于容易出现非理性行为的投资者给予一定的知识、技术辅导与教育；于此同时,也要规范机构投者和财富水平较高的个人投资者行为,严厉打击如“坐庄”、“内幕”等不法现象,为资本市场的良性发展提供一个公平、公正、公开的政策环境。
本论文具备以下创新之处：
第一,在数据使用上的创新。本论文从深圳证券交易数据中心获得了我国所有投资者(6841万户)的账户信息和交易数据,包括股票买卖的日期和时间、股票代码、交易类别(买/卖)、买卖叫价、成交价格、成交股数、交易者类别等。这是目前国内唯一的全账户数据库。同时,本论文以市场公开数据为辅助数据,对我国证券投资者的结构和行为进行深入系统的研究。基于投资者账户信息的一手数据,可以保证本论文研究结果的真实性、全面性、深入性。
第二,在研究方法上的创新。本论文首先在投资者结构的分类方法上加以创新,基于个人投资者的财富水平,将其分为小个人组、中个人组和大个人组三类。比较不同财富水平的个人投资者的交易行为和策略,这在国内还属于首创性研究。其次,本论文构造并改进了净买率和净卖率,使得我们对各类投资者的交易行为有一个清晰的认识,也为投资者的行为研究提供了变量依据。
第三,本论文在研究内容上的创新。本论文基于全账户信息,对各类投资者的交易策略和交易行为,尤其是对焦点股票的交易行为进行了系统的研究,添补了国内在该领域研究的空白。
American financial crisis tells us that sound development of capital market and security of financial system are the most important thing to international and domestic financial systems. Investors make capital market, so there is an interaction between the structures and behaviors of investors and capital market. On one hand, the perfection of investors'structure and the regulation of investors' behaviors will improve the sound development of capital market, such as reducing market wave, improving market circulation, information transmission fast and full. On the other hand, capital market plays an important part in investors' structure and behaviors, such as structure optimization, professional level rising, investment idea raise, and investment style diversification. A sound market environment is able to improve investors' structure and behaviors, but unhealthy market will cause the investors' structure worsen and behaviors more irrational.
Compared with mature market, the investors' structure in our country's capital market has serious detuning, individual investor occupies the absolute majorities, the institutions are few; The non-specialized institutional investors own big proportion of stocks, the specialized institutional investors own stocks few; The investors' overall quality is low, the contrary behaviors are too many, the institutions have "the banker" pattern; The sole market investment style does not favor the stable stock market; Funds develop excessively quickly, social society funds, enterprise annuity, and insurance companies just start, individual investor troop atrophy and so on. So there is a series question of investor structure and behaviors, which cause the study on investor structure and behaviors extremely essential. Until now domestic and foreign studies have not theory and result about "capital market should have what type of investor structure", therefore the research on investors' structure and behaviors in our country's capital market has the strong theory value and the practical significance.
This paper has a study frame as follows:
This paper has 7 chapters:chapter 1 is introduction, giving study purpose, meaning, method, frame, creation of this paper. Chapter 2 is literature reviews of foreign and domestic studies. Based on the development of behavioral finance, this paper summarizes the study situation of existing papers and gives estimation to them from psychology studies, pricing studies, and empirical studies of behavioral finance. Chapter 3 is our country investors' structure type and descriptive statistics. That is the beginning of main parts of this paper, showing the dataset of this paper. The following chapter 4,5,6 are main parts of this paper. Chapter 4 is our country investors'trading strategy, including momentum and contrarian strategy, weekday effect strategy, market behavioral strategy, and value/growth strategy. Chapter 5 is our country investors' trading behavior, including high abnormal trading volume, extreme one-day returns, high turnover rate, price limit, IPO and 13 industries. Chapter 6 is our country investors' pricing predictive ability, including different market behavior and stock. Chapter 7 is conclusion, suggestion, shortage, and improvement.
This paper makes several important contributions as follows:
Though statistical analysis, this paper shows the majority of investors (by value and number) are individual investors in China. By classification, the majority of investors are the Smallest Group of individual investors, and investment funds are the majority in institutional investors.
Individual investors are irrational immature investors, and institutional investors are rational mature investors. Among individuals, the Large Group and the Middle Group are rational mature investors, similar with institutions. The Smallest Group is irrational immature investors.
Therefore, we should reasonably develop institutional investors and optimize the investor structure of capital market; we should regulate the behavior of investors especially for small retail investors, giving them knowledge and technology and suggesting them use pro institutions to invest; we should strictly punish the banker" pattern, black story, inside trading, so we can provide a good policy environment of fair, open, just to our capital market.
This paper has creations as follows:
First, this paper has creation on dataset. this study based on the leading edge of models and methods of behavioral finance, employs a comprehensive dataset included the complete transaction history and account information of all shareholders of SZSE stocks from January 1,2002, through December 31,2007. Our sample therefore contains daily detail records of trades of SZSE A shares transacted by 68.41 millions institutional and individual brokerage accounts across Chinese Mainland for the period. Each trade record includes the date and time of the transaction, a stock code, order type (buy or sell), bid/ask records, transaction price, the number of shares purchase or sell, and an account identifier of the trader. It is the only one dataset based on all investors' accounts in our country. At the same time, this paper also uses market public data. Based on first hand data, we can make sure the conclusions are real, comprehensive and deep.
Second, this paper has creation on method. This paper first classifies individual investors into three types. We divide individual accounts into three groups based on average market values of their shareholdings. Individual investors with average stockholding market values of greater than or equal to RMB$ 10 million are in the 'Largest Group', those with average stockholding market values of greater than or equal to RMB$ lmillion but less than RMB$ 10 million are in the 'Middle Group', and finally, those with average stockholding market values of less than RMB$ 1 million are in the'Smallest Group'. It is the first study in our country. Then for clearly understanding and study the behavior of investors, this paper improves the net buy ratio and net sell ratio.
Third, this paper has creation on content. This paper uses all account information to study trading strategy and behavior (especially trading attention-grabbing stocks), make up the blank of our country.
与成熟市场相比,我国的资本市场存在投资者结构严重失调,个人投资者占绝对多数,机构较少；非专业化机构投资者持股比例大,专业化机构投资者持股较少；投资者整体素质较低,违规行为多；市场的投资风格单一、不利于股市稳定；基金发展过快,社保基金、企业年金、保险等刚起步,个人投资者队伍过于庞大等等一系列投资者结构和行为上的问题,使得对投资者结构和行为进行深入研究是非常必要的。至今国内外没有一个关于“资本市场应该有一个什么样的投资者结构”的理论叙述和研究成果,因此关于我国资本市场中投资者结构和行为的研究具有较强的理论价值和现实意义。
本论文的研究结构与内容如下：
本论文共有7个章节：第1章为引论,给出本论文的研究目的、意义、方法、框架、创新性成果等。第2章为国内外文献综述,按照行为金融学的发展脉络,从行为金融学的心理研究、行为金融学的定价研究以及行为金融学的实证研究三个方面归纳与总结了国内外的研究现状并给予了评述。第3章为样本数据与我国证券投资者结构,这是本论文的主要部分的开端,给出本论文的数据分类与研究基础,接下来的4、5、6章为本论文的研究重点。第4章为我国证券投资者的交易策略,包括动量反转策略、周内交易策略、市场走势策略及价值/成长策略。第5章为我国证券投资者的交易行为,包括对异常交易量股票的交易行为、对极端收益率股票的交易行为、对高换手率股票的交易行为、对涨跌停板股票的交易行为、对IPO股票的交易行为、对13个行业股票的交易行为。第6章为我国证券投资者的预测能力,包括在不同市场走势和不同股票选择上的预测能力。第7章给出本论文的主要结论、政策建议、存在的不足及进一步改进的方向。
本论文的主要结论如下：
经过详细的统计分析我们得出,无论从交易金额、交易人数还是开户人数的角度,总体上个人投资者都是股票交易的主力军,细分后个人投资者中的小个人组是股票交易的主力军,投资基金是机构投资者的主力军。
我国的机构投资者较个人投资者而言,是理性成熟的投资者；个人投资者是非理性不成熟的投资者。在个人投资者中,大个人组和中个人组较小个人组而言,是理性成熟的投资者,与机构的行为相似；小个人组是非理性不成熟投资者。
因此,我国应合理发展机构投资者,为机构投资者的发展给予政策扶持,提倡小散户利用专业投资机构进行投资,使我国证券投资者结构向机构投资者为主体的方向发展；大力规范投资者行为,尤其是小散户行为,对于容易出现非理性行为的投资者给予一定的知识、技术辅导与教育；于此同时,也要规范机构投者和财富水平较高的个人投资者行为,严厉打击如“坐庄”、“内幕”等不法现象,为资本市场的良性发展提供一个公平、公正、公开的政策环境。
本论文具备以下创新之处：
第一,在数据使用上的创新。本论文从深圳证券交易数据中心获得了我国所有投资者(6841万户)的账户信息和交易数据,包括股票买卖的日期和时间、股票代码、交易类别(买/卖)、买卖叫价、成交价格、成交股数、交易者类别等。这是目前国内唯一的全账户数据库。同时,本论文以市场公开数据为辅助数据,对我国证券投资者的结构和行为进行深入系统的研究。基于投资者账户信息的一手数据,可以保证本论文研究结果的真实性、全面性、深入性。
第二,在研究方法上的创新。本论文首先在投资者结构的分类方法上加以创新,基于个人投资者的财富水平,将其分为小个人组、中个人组和大个人组三类。比较不同财富水平的个人投资者的交易行为和策略,这在国内还属于首创性研究。其次,本论文构造并改进了净买率和净卖率,使得我们对各类投资者的交易行为有一个清晰的认识,也为投资者的行为研究提供了变量依据。
第三,本论文在研究内容上的创新。本论文基于全账户信息,对各类投资者的交易策略和交易行为,尤其是对焦点股票的交易行为进行了系统的研究,添补了国内在该领域研究的空白。
American financial crisis tells us that sound development of capital market and security of financial system are the most important thing to international and domestic financial systems. Investors make capital market, so there is an interaction between the structures and behaviors of investors and capital market. On one hand, the perfection of investors'structure and the regulation of investors' behaviors will improve the sound development of capital market, such as reducing market wave, improving market circulation, information transmission fast and full. On the other hand, capital market plays an important part in investors' structure and behaviors, such as structure optimization, professional level rising, investment idea raise, and investment style diversification. A sound market environment is able to improve investors' structure and behaviors, but unhealthy market will cause the investors' structure worsen and behaviors more irrational.
Compared with mature market, the investors' structure in our country's capital market has serious detuning, individual investor occupies the absolute majorities, the institutions are few; The non-specialized institutional investors own big proportion of stocks, the specialized institutional investors own stocks few; The investors' overall quality is low, the contrary behaviors are too many, the institutions have "the banker" pattern; The sole market investment style does not favor the stable stock market; Funds develop excessively quickly, social society funds, enterprise annuity, and insurance companies just start, individual investor troop atrophy and so on. So there is a series question of investor structure and behaviors, which cause the study on investor structure and behaviors extremely essential. Until now domestic and foreign studies have not theory and result about "capital market should have what type of investor structure", therefore the research on investors' structure and behaviors in our country's capital market has the strong theory value and the practical significance.
This paper has a study frame as follows:
This paper has 7 chapters:chapter 1 is introduction, giving study purpose, meaning, method, frame, creation of this paper. Chapter 2 is literature reviews of foreign and domestic studies. Based on the development of behavioral finance, this paper summarizes the study situation of existing papers and gives estimation to them from psychology studies, pricing studies, and empirical studies of behavioral finance. Chapter 3 is our country investors' structure type and descriptive statistics. That is the beginning of main parts of this paper, showing the dataset of this paper. The following chapter 4,5,6 are main parts of this paper. Chapter 4 is our country investors'trading strategy, including momentum and contrarian strategy, weekday effect strategy, market behavioral strategy, and value/growth strategy. Chapter 5 is our country investors' trading behavior, including high abnormal trading volume, extreme one-day returns, high turnover rate, price limit, IPO and 13 industries. Chapter 6 is our country investors' pricing predictive ability, including different market behavior and stock. Chapter 7 is conclusion, suggestion, shortage, and improvement.
This paper makes several important contributions as follows:
Though statistical analysis, this paper shows the majority of investors (by value and number) are individual investors in China. By classification, the majority of investors are the Smallest Group of individual investors, and investment funds are the majority in institutional investors.
Individual investors are irrational immature investors, and institutional investors are rational mature investors. Among individuals, the Large Group and the Middle Group are rational mature investors, similar with institutions. The Smallest Group is irrational immature investors.
Therefore, we should reasonably develop institutional investors and optimize the investor structure of capital market; we should regulate the behavior of investors especially for small retail investors, giving them knowledge and technology and suggesting them use pro institutions to invest; we should strictly punish the banker" pattern, black story, inside trading, so we can provide a good policy environment of fair, open, just to our capital market.
This paper has creations as follows:
First, this paper has creation on dataset. this study based on the leading edge of models and methods of behavioral finance, employs a comprehensive dataset included the complete transaction history and account information of all shareholders of SZSE stocks from January 1,2002, through December 31,2007. Our sample therefore contains daily detail records of trades of SZSE A shares transacted by 68.41 millions institutional and individual brokerage accounts across Chinese Mainland for the period. Each trade record includes the date and time of the transaction, a stock code, order type (buy or sell), bid/ask records, transaction price, the number of shares purchase or sell, and an account identifier of the trader. It is the only one dataset based on all investors' accounts in our country. At the same time, this paper also uses market public data. Based on first hand data, we can make sure the conclusions are real, comprehensive and deep.
Second, this paper has creation on method. This paper first classifies individual investors into three types. We divide individual accounts into three groups based on average market values of their shareholdings. Individual investors with average stockholding market values of greater than or equal to RMB$ 10 million are in the 'Largest Group', those with average stockholding market values of greater than or equal to RMB$ lmillion but less than RMB$ 10 million are in the 'Middle Group', and finally, those with average stockholding market values of less than RMB$ 1 million are in the'Smallest Group'. It is the first study in our country. Then for clearly understanding and study the behavior of investors, this paper improves the net buy ratio and net sell ratio.
Third, this paper has creation on content. This paper uses all account information to study trading strategy and behavior (especially trading attention-grabbing stocks), make up the blank of our country.
引文
①2002年至2007年,从交易金额上看,我国个人投资者占总体的88.7%,机构投资者占11.3%；从开户数量上看,个人投资者占总体的99.6%,机构投资者占0.4%。
①20世纪50年代是开创传统金融理论的里程碑,此时金融理论逐步摆脱了过去纯货币理论体系,确立了资产定价在金融学中的核心地位。20世纪80年代以后,行为多元化导致金融产品和金融系统多元化,也导致了金融理论的多元化。至此,传统金融理论的核心从资产定价转向参与者行为,这可以看作是向经济学本来面目的复归。
②除了异质性行为之外,国家政策、国际局势、自然灾害等宏观因素和自然因素也对证券市场起着巨大的作用。
①深圳证券交易所数据分析中心是深证证券交易所专门处理和分析市场数据和投资者信息的研究中心,源于一手数据的研究保证了本论文数据的真实性和准确性。
②我国不同于美国等发达国家,股票市场并非全流通市场。本节以2005年为准,把样本周期按股改前后划分为两个阶段。
③可能存在过度交易的现象。
①由于有些账户不能提供有效的交易数据,因此本文使用的账户数据库涵盖了6841万户的个人投资者和机构投资者。
①为考察我国投资者的股票交易行为,本论文将研究范围限定在深证A股的流通股票。
②2003年6月2日,全国社保基金以委托投资方式正式进入证券市场。从2000年9月成立至2009年底,社保基金累计投资收益2448.59亿元。
③在样本期间,从交易金额上看,个人投资者占总体的88.7%,机构投资者只占11.3%；从开户数量上看,个人投资者占总体的99.6%,机构投资者只占总体的0.4%；从参与交易的人数上看,2007年,个人投资者占总体的99.8%,机构投资者只占总体的0.2%。
④在样本期间,对每个个人账户统计出月末持股市值的平均值,对新老账户都采用同样方法进行划分,并且每一个账户所在的分组保持不变。
①由于我国机构投资者少,进一步分类后交易数据可能在回归统计上不显著,因此本论文主要对机构投资者进行总体研究。
②由2007年各类投资者参与交易的账户数量汇总所得。
①当然,也与样本期间新成立的投资基金数量较多有关。
①非重叠是指构建滞后期收益率的时期是独立的,累计是指构建滞后期收益率的时期是重叠的。
②本章收益率的计算采用的是对数收益率法,R=1nP(t)/1nP(t-1)。
①由于机构投资者数量很少,进一步分类后可能在回归统计上不显著,因此从本章开始对机构投资者进行总体分类研究。
②由于本文的数据结构庞大,完全满足样本数量上的需求,而且本文在数据上做了一定处理,从而保证回归结果的有效性。我们采用sas9.1软件进行数据分析。
①本章定义价值交易策略是投资具有保值功能,价格稳定的大公司股票。成长交易策略是投资具有增值功能,价格波动较大的小公司股票。
①见Grossman和Stiglitz (1980), Kyle (1985).
①Odean(2009)选择前一日股票收益率的理由是：其一,大多数投资者只有在股市闭市后才意识到或者计算出收益率,使得他们只能在第二个交易日采取行动；其二,买卖不平衡会导致同期价格变动。
②换手率=成交量/流通盘*100%。
①涨跌幅度超过9%的股票。
②深圳证券交易所规定新股申购单位为500股,每一证券账户申购委托不少于500股,超过500股的必须是500股的整数倍,且不能超过发行公告中所规定的申购数量上限,否则视为无效中。
①本章还对样本期进行分段,考察不同时期各类投资者对异常交易量股票的交易行为,发现结果仍是稳健的。
①卖出量(净卖率)规律不统一。
①出卖出量(净卖率)规律不统一。
①非重叠是指构建滞后期收益率的时期是独立的,累计是指构建滞后期收益率的时期是重叠的。
②本章收益率的计算采用的对数收益率法,R=1nP(t)/1nP(t-1)。
①卖出量(净卖率)规律不统一。
①由于样本期限截止到2007年,因此本论文的政策建议需要进一步将2008年至2011年的实际情况考虑在内。
①在样本期间,对每个个人账户统计出月末持股市值的平均值,对新老账户都采用同样方法进行划分,并且每一个账户所在的分组保持不变。
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①20世纪50年代是开创传统金融理论的里程碑,此时金融理论逐步摆脱了过去纯货币理论体系,确立了资产定价在金融学中的核心地位。20世纪80年代以后,行为多元化导致金融产品和金融系统多元化,也导致了金融理论的多元化。至此,传统金融理论的核心从资产定价转向参与者行为,这可以看作是向经济学本来面目的复归。
②除了异质性行为之外,国家政策、国际局势、自然灾害等宏观因素和自然因素也对证券市场起着巨大的作用。
①深圳证券交易所数据分析中心是深证证券交易所专门处理和分析市场数据和投资者信息的研究中心,源于一手数据的研究保证了本论文数据的真实性和准确性。
②我国不同于美国等发达国家,股票市场并非全流通市场。本节以2005年为准,把样本周期按股改前后划分为两个阶段。
③可能存在过度交易的现象。
①由于有些账户不能提供有效的交易数据,因此本文使用的账户数据库涵盖了6841万户的个人投资者和机构投资者。
①为考察我国投资者的股票交易行为,本论文将研究范围限定在深证A股的流通股票。
②2003年6月2日,全国社保基金以委托投资方式正式进入证券市场。从2000年9月成立至2009年底,社保基金累计投资收益2448.59亿元。
③在样本期间,从交易金额上看,个人投资者占总体的88.7%,机构投资者只占11.3%；从开户数量上看,个人投资者占总体的99.6%,机构投资者只占总体的0.4%；从参与交易的人数上看,2007年,个人投资者占总体的99.8%,机构投资者只占总体的0.2%。
④在样本期间,对每个个人账户统计出月末持股市值的平均值,对新老账户都采用同样方法进行划分,并且每一个账户所在的分组保持不变。
①由于我国机构投资者少,进一步分类后交易数据可能在回归统计上不显著,因此本论文主要对机构投资者进行总体研究。
②由2007年各类投资者参与交易的账户数量汇总所得。
①当然,也与样本期间新成立的投资基金数量较多有关。
①非重叠是指构建滞后期收益率的时期是独立的,累计是指构建滞后期收益率的时期是重叠的。
②本章收益率的计算采用的是对数收益率法,R=1nP(t)/1nP(t-1)。
①由于机构投资者数量很少,进一步分类后可能在回归统计上不显著,因此从本章开始对机构投资者进行总体分类研究。
②由于本文的数据结构庞大,完全满足样本数量上的需求,而且本文在数据上做了一定处理,从而保证回归结果的有效性。我们采用sas9.1软件进行数据分析。
①本章定义价值交易策略是投资具有保值功能,价格稳定的大公司股票。成长交易策略是投资具有增值功能,价格波动较大的小公司股票。
①见Grossman和Stiglitz (1980), Kyle (1985).
①Odean(2009)选择前一日股票收益率的理由是：其一,大多数投资者只有在股市闭市后才意识到或者计算出收益率,使得他们只能在第二个交易日采取行动；其二,买卖不平衡会导致同期价格变动。
②换手率=成交量/流通盘*100%。
①涨跌幅度超过9%的股票。
②深圳证券交易所规定新股申购单位为500股,每一证券账户申购委托不少于500股,超过500股的必须是500股的整数倍,且不能超过发行公告中所规定的申购数量上限,否则视为无效中。
①本章还对样本期进行分段,考察不同时期各类投资者对异常交易量股票的交易行为,发现结果仍是稳健的。
①卖出量(净卖率)规律不统一。
①出卖出量(净卖率)规律不统一。
①非重叠是指构建滞后期收益率的时期是独立的,累计是指构建滞后期收益率的时期是重叠的。
②本章收益率的计算采用的对数收益率法,R=1nP(t)/1nP(t-1)。
①卖出量(净卖率)规律不统一。
①由于样本期限截止到2007年,因此本论文的政策建议需要进一步将2008年至2011年的实际情况考虑在内。
①在样本期间,对每个个人账户统计出月末持股市值的平均值,对新老账户都采用同样方法进行划分,并且每一个账户所在的分组保持不变。
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