中国投资基金市场投资者非理性行为实证研究
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摘要
行为金融学涵盖金融理论和心理学、社会学理论,从人性出发,构建起新的分析框架和基本观念。非理性行为的研究是行为金融学主要的研究领域和方向,这种现象的研究具有普遍意义。
投资基金市场是特殊的资本市场。它具有资本市场的共性,同时又有自身的特点。中国的投资基金市场的兴起比起股票市场要晚的多,迄今为止,发展历史才不过十一年的时间,其制度结构和组织体系一直处在动态的变化之中。同其它的资本市场一样,这个新兴市场同样也存在着羊群效应和输者赢者效应等金融异象,而且其投资者行为也表现出很鲜明的非理性的特点。论文就是以中国投资基金市场为背景,对其投资者的非理性行为进行深入的实证研究。
论文从对非理性行为内涵的界定出发,从三个维度归纳出具有代表性的非理性行为,即群体心理偏差引起的非理性行为、系统偏差引起的非理性行为和信息认知偏差引起的非理性行为,并从心理学的角度解释了非理性行为产生的原因。
论文通过对中国投资基金市场的发展历程的回顾和现状的分析,对中国投资基金市场的特殊性进行概括性的归纳总结,并基于对非理性行为典型特征的深入剖析,提出了中国投资基金市场特有的投资者非理性表现。
在实证部分,论文以行为金融学、分形市场理论和小波分析理论为基础,应用聚类分析方法,采用我国投资基金市场的日交易成交量的变化数据,对基金市场上投资者在卖出基金份额行动中的羊群行为进行实证检验；在上述结果基础之上,论文采用收益率指标,运用方差分析方法,对检验投资基金市场上投资者的过度自信行为进行实证检验；论文实证检验的第三部分是对投资基金市场上投资者信息认知偏差引起的非理性行为进行分析,该分析分为三个步骤。首先,采用小波分析理论技术对中国投资基金市场上的样本数据收益率时序提取非理性行为噪声时序,并且分为三层时序,对其分别进行平稳性检验。然后,应用两种不同的方法和模型对其不同层次的非理性行为噪声时序进行长记忆性检验,即R/S分析和ARFIMA模型。最后,采用脉冲响应函数分析了不同层次的非理性行为对投资基金市场的影响。
通过研究可以看出,中国投资基金市场上投资者羊群效应十分明显；存在过度自信行为；不同信息认知偏差引起的非理性行为具有不同的表现形式；不同信息认知偏差引起的非理性行为对投资基金市场具有不同的影响程度。结合实证结论提出了具有针对性的对策建议。
Combined with financial theory, psychology and sociology, behavioral finance constructed new analysis frame and basic ideas based on humanity. Irrational behavior is the key research field and direction of behavioral finance, and study on it means a lot.
Fund market is a special capital market. It had common nature of capital market, but had its characteristics at the same time. And China fund market began later than security market, and had developed for 11 years. Its system frame and organization system changed dynamically all the time. China fund market also faced some finance anomalies as herd behavior and loser-winner effect like other capital markets, and had apparent prominent characteristics. This paper made the empirical study on the investors'irrational behavior in China fund market.
This paper started with definition of irrational behavior, summed up three present kinds of irrational behavior, as irrational behavior by deviation of harmonious psychology, irrational behavior by systemic deviation and behavior deviation of by information cognition, and explained the case of irrational behaviors in aspect of psychology.
After reviewed history of development and present situation of China fund market, this paper summed up specifications of China fund market. And based on the characteristics of irrational behaviors, this paper put forward special irrational performance of China fund market from views of supervisor.
In empirical part, this paper considered on behavioral finance, fractal market and wavelets analysis theory. For analysis on herd behavior, this paper selected day volume rates and used cluster analysis method to test the herb behavior when fund investors sell them. Based on the results of cluster analysis, analysis of variance had been used to test overconfidence behavior in China fund market by yield. This paper made empirical test for irrational behavior by deviation of by information cognition, and took three steps in the third part of empirical analysis. Firstly, using the wavelet analysis theory to put out the irrational behavior chaos time series from sample data of China fund market, and being divided into three levels, and taking the stationarity test. Then I used two different methods and models, as R/S analysis and ARFIMA model, to take long memory test for irrational behaviors chaos time series in different levels. Last, I used the impulse responses function to study the influence on fund market from irrational behaviors in different levels.
From results of empirical study, investors'herd behavior is very present; there exist overconfidence behavior; different irrational behaviors had different manifestation; different irrational behaviors had influences on China fund market in different levels. And this paper put forward targeted policy recommendations for rational investment in China fund market at last.
投资基金市场是特殊的资本市场。它具有资本市场的共性,同时又有自身的特点。中国的投资基金市场的兴起比起股票市场要晚的多,迄今为止,发展历史才不过十一年的时间,其制度结构和组织体系一直处在动态的变化之中。同其它的资本市场一样,这个新兴市场同样也存在着羊群效应和输者赢者效应等金融异象,而且其投资者行为也表现出很鲜明的非理性的特点。论文就是以中国投资基金市场为背景,对其投资者的非理性行为进行深入的实证研究。
论文从对非理性行为内涵的界定出发,从三个维度归纳出具有代表性的非理性行为,即群体心理偏差引起的非理性行为、系统偏差引起的非理性行为和信息认知偏差引起的非理性行为,并从心理学的角度解释了非理性行为产生的原因。
论文通过对中国投资基金市场的发展历程的回顾和现状的分析,对中国投资基金市场的特殊性进行概括性的归纳总结,并基于对非理性行为典型特征的深入剖析,提出了中国投资基金市场特有的投资者非理性表现。
在实证部分,论文以行为金融学、分形市场理论和小波分析理论为基础,应用聚类分析方法,采用我国投资基金市场的日交易成交量的变化数据,对基金市场上投资者在卖出基金份额行动中的羊群行为进行实证检验；在上述结果基础之上,论文采用收益率指标,运用方差分析方法,对检验投资基金市场上投资者的过度自信行为进行实证检验；论文实证检验的第三部分是对投资基金市场上投资者信息认知偏差引起的非理性行为进行分析,该分析分为三个步骤。首先,采用小波分析理论技术对中国投资基金市场上的样本数据收益率时序提取非理性行为噪声时序,并且分为三层时序,对其分别进行平稳性检验。然后,应用两种不同的方法和模型对其不同层次的非理性行为噪声时序进行长记忆性检验,即R/S分析和ARFIMA模型。最后,采用脉冲响应函数分析了不同层次的非理性行为对投资基金市场的影响。
通过研究可以看出,中国投资基金市场上投资者羊群效应十分明显；存在过度自信行为；不同信息认知偏差引起的非理性行为具有不同的表现形式；不同信息认知偏差引起的非理性行为对投资基金市场具有不同的影响程度。结合实证结论提出了具有针对性的对策建议。
Combined with financial theory, psychology and sociology, behavioral finance constructed new analysis frame and basic ideas based on humanity. Irrational behavior is the key research field and direction of behavioral finance, and study on it means a lot.
Fund market is a special capital market. It had common nature of capital market, but had its characteristics at the same time. And China fund market began later than security market, and had developed for 11 years. Its system frame and organization system changed dynamically all the time. China fund market also faced some finance anomalies as herd behavior and loser-winner effect like other capital markets, and had apparent prominent characteristics. This paper made the empirical study on the investors'irrational behavior in China fund market.
This paper started with definition of irrational behavior, summed up three present kinds of irrational behavior, as irrational behavior by deviation of harmonious psychology, irrational behavior by systemic deviation and behavior deviation of by information cognition, and explained the case of irrational behaviors in aspect of psychology.
After reviewed history of development and present situation of China fund market, this paper summed up specifications of China fund market. And based on the characteristics of irrational behaviors, this paper put forward special irrational performance of China fund market from views of supervisor.
In empirical part, this paper considered on behavioral finance, fractal market and wavelets analysis theory. For analysis on herd behavior, this paper selected day volume rates and used cluster analysis method to test the herb behavior when fund investors sell them. Based on the results of cluster analysis, analysis of variance had been used to test overconfidence behavior in China fund market by yield. This paper made empirical test for irrational behavior by deviation of by information cognition, and took three steps in the third part of empirical analysis. Firstly, using the wavelet analysis theory to put out the irrational behavior chaos time series from sample data of China fund market, and being divided into three levels, and taking the stationarity test. Then I used two different methods and models, as R/S analysis and ARFIMA model, to take long memory test for irrational behaviors chaos time series in different levels. Last, I used the impulse responses function to study the influence on fund market from irrational behaviors in different levels.
From results of empirical study, investors'herd behavior is very present; there exist overconfidence behavior; different irrational behaviors had different manifestation; different irrational behaviors had influences on China fund market in different levels. And this paper put forward targeted policy recommendations for rational investment in China fund market at last.
引文
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[2]Markowitz, H. The Utility of Wealth, Journal of Political Economy,1952, VOL60:151-158
[3]Shape, W. Capital Asset Prices:A Theory of Market Equilibrium under Conditions of Risk,1989, VOL19:359-373
[4]Black,F. and M.Scholes. The Pricing of Options and Corporate Liabilities. Journal of Political Economy.1981,637-659
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[6]French, K., and J. Poterba. Investor Diversification and International Equity Markets, American Economic Review,1991, VOL81:222-226
[7]Lewis, K. Trying to Explain Home Bias in Equities and Consumption, Journal of Economic Literature,1999, VOL37:571-608
[8]Baxter, M., and U. Jermann, The International Diversification Puzzle Is Worse Than You Think, American Economic Review,1997, VOL87:170-180
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