基于中国股票市场制度安排的行为金融研究
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摘要
本文以中国股票市场为背景，把制度因素纳入行为金融学的研究视野，建立
了一个分析框架，分析制度安排、制度转型对投资者心理认知和行为模式的影响。
本文认为，投资者除了由于人类共有的、先天性的理性缺陷--有限理性，导致
的认知偏见和行为偏差外，不合理的制度环境也会导致投资者的心理偏见和行为
偏差。我们把这种偏差称之为“制度诱致型”心理和行为偏差。这种心理和行为
偏差以有限理性导致的偏差为基础，是在更大幅度上对投资者心理和行为的扭曲。
中国股票市场具有转型经济的典型特征，噪音政策干预频繁、制度缺失和制度多
余的现象同时存在。我们选取了中国股票市场上具有典型意义的制度安排，如噪
音干预、市场分割、市场封闭、禁止卖空、不完全退出机制和国有股安排等，逐
个分析这些制度现象对投资者心理和行为的影响。我们的研究证实，这些制度现
象向市场传递噪音或扭曲市场信息，引发投资者“制度诱致型”的心理和行为偏
差，进而对股票市场的走势产生长久的影响。这个结论从一个新的角度解释中国
股票市场上噪音交易主导和股票价格波动剧烈的独特现象。同时，我们的研究发
现，投资者的套利行为在资本不完全流动的情况下可以通过情绪传导和心理类比
来实现。这是对B股开放后，A股和B股市场走势趋同的尝试性解释。此外，我
们的研究还发现，在某种错误制度--禁止卖空机制--的诱导下，投资者行为
会退化：投资者从信息交易者蜕变为噪音交易者。这可以对中国股票市场投机盛
行的现象给出一个解释。与此相对应的是，在某种正确制度--市场开放制度-
-的引导下，投资者行为会进化：由噪音交易者进化为信息交易者。在本文最后
一章，笔者指出制度解释的局限性并提出了对行为金融文化解释的思路。笔者认
为投资者的心理和行为偏差有三个层次：有限理性导致的偏差，文化多样性导致
的偏差和制度诱致型的偏差。
本文的研究结论具有丰富的政策含义。首先，制度供给必须考虑投资者的心
理和行为反应模式。错误的、缺失的和多余的制度在股票市场事本身就是一种噪
音，是导致市场过度波动和市场风险增大的根源。其次，制度演进必须考虑投资
者的心理适应性。超越投资者心理适应界限的制度革新可能会导致市场的剧烈波
动，不但不能起到规范市场的功效，相反，会引起市场混乱。其三，制度转型既
要通过政府的制度供给来推进，更要拓展民间自发制度生长的空间，利用民间智
慧和力量推进制度转型。
In this paper, by introducing institutional factors of Chinese stock market into behavioral finance, an analysis frame is established to study how institutions and institution transfer have their influence on the investors' cognitive and trading behavior. A conclusion is drawn that besides limited rationality, improper institutional arrangement can arouse cognitive and trading behavior, which is named "institution -caused" cognitive and behavior bias. Such a bias twists investors' psychology and behavior more severely than limited rationality -caused bias. China stock market shares the representative characteristic of transfer economy, and noise policy intervention, institution shortage and institution superabundance exist simultaneously. Representative institutions in china stock market such as noise policy intervention, market segmentation, market entry obstacle, ban of short sell, imperfect exit mechanism and state-owned share arrangement are chosen to analyze their influence on investors' psychology and
behavior. The study shows that these institutional phenomenons send noise to the market and lead to an "institution -caused" cognitive and behavior bias, and further more have a long-time influence on the stock price. This conclusion can give a new explanation of noise trader' domination and price over- fluctuation in China stock market. Meanwhile, our study shows that under condition of restriction of capital flow, arbitrage can be realized by emotion conduction and psychological comparison, which is used to explain why after opening of B share to mainland investors, B share and A share become cointegrate. Besides, a wrong institution, such as ban of short sell can induce investors to degenerate: from an information trader to a noise trader, which can explain the formation of strong speculation in China stock market. On the other hand , under some condition, such as market opening , a noise trader can evolve as a information trader. In the last chapter three kinds of investors bias are given: first kind ref
ers to limited rationality, the second to poly-culture and the third to institution arrangement.
Our study has rich policy meanings. First, investors' psychological and behavioral reaction should be considered into institution supply. A wrong institutional arrangement is kind of noise and can lead to over- fluctuation of the stock market. Second, psychological adaptability of investors should be introduced into institution evolution.
Too fast institution change can lead to market chaos. Third, institution transfer should not rest on government only, grass- rooted wisdom is also a necessity.
了一个分析框架，分析制度安排、制度转型对投资者心理认知和行为模式的影响。
本文认为，投资者除了由于人类共有的、先天性的理性缺陷--有限理性，导致
的认知偏见和行为偏差外，不合理的制度环境也会导致投资者的心理偏见和行为
偏差。我们把这种偏差称之为“制度诱致型”心理和行为偏差。这种心理和行为
偏差以有限理性导致的偏差为基础，是在更大幅度上对投资者心理和行为的扭曲。
中国股票市场具有转型经济的典型特征，噪音政策干预频繁、制度缺失和制度多
余的现象同时存在。我们选取了中国股票市场上具有典型意义的制度安排，如噪
音干预、市场分割、市场封闭、禁止卖空、不完全退出机制和国有股安排等，逐
个分析这些制度现象对投资者心理和行为的影响。我们的研究证实，这些制度现
象向市场传递噪音或扭曲市场信息，引发投资者“制度诱致型”的心理和行为偏
差，进而对股票市场的走势产生长久的影响。这个结论从一个新的角度解释中国
股票市场上噪音交易主导和股票价格波动剧烈的独特现象。同时，我们的研究发
现，投资者的套利行为在资本不完全流动的情况下可以通过情绪传导和心理类比
来实现。这是对B股开放后，A股和B股市场走势趋同的尝试性解释。此外，我
们的研究还发现，在某种错误制度--禁止卖空机制--的诱导下，投资者行为
会退化：投资者从信息交易者蜕变为噪音交易者。这可以对中国股票市场投机盛
行的现象给出一个解释。与此相对应的是，在某种正确制度--市场开放制度-
-的引导下，投资者行为会进化：由噪音交易者进化为信息交易者。在本文最后
一章，笔者指出制度解释的局限性并提出了对行为金融文化解释的思路。笔者认
为投资者的心理和行为偏差有三个层次：有限理性导致的偏差，文化多样性导致
的偏差和制度诱致型的偏差。
本文的研究结论具有丰富的政策含义。首先，制度供给必须考虑投资者的心
理和行为反应模式。错误的、缺失的和多余的制度在股票市场事本身就是一种噪
音，是导致市场过度波动和市场风险增大的根源。其次，制度演进必须考虑投资
者的心理适应性。超越投资者心理适应界限的制度革新可能会导致市场的剧烈波
动，不但不能起到规范市场的功效，相反，会引起市场混乱。其三，制度转型既
要通过政府的制度供给来推进，更要拓展民间自发制度生长的空间，利用民间智
慧和力量推进制度转型。
In this paper, by introducing institutional factors of Chinese stock market into behavioral finance, an analysis frame is established to study how institutions and institution transfer have their influence on the investors' cognitive and trading behavior. A conclusion is drawn that besides limited rationality, improper institutional arrangement can arouse cognitive and trading behavior, which is named "institution -caused" cognitive and behavior bias. Such a bias twists investors' psychology and behavior more severely than limited rationality -caused bias. China stock market shares the representative characteristic of transfer economy, and noise policy intervention, institution shortage and institution superabundance exist simultaneously. Representative institutions in china stock market such as noise policy intervention, market segmentation, market entry obstacle, ban of short sell, imperfect exit mechanism and state-owned share arrangement are chosen to analyze their influence on investors' psychology and
behavior. The study shows that these institutional phenomenons send noise to the market and lead to an "institution -caused" cognitive and behavior bias, and further more have a long-time influence on the stock price. This conclusion can give a new explanation of noise trader' domination and price over- fluctuation in China stock market. Meanwhile, our study shows that under condition of restriction of capital flow, arbitrage can be realized by emotion conduction and psychological comparison, which is used to explain why after opening of B share to mainland investors, B share and A share become cointegrate. Besides, a wrong institution, such as ban of short sell can induce investors to degenerate: from an information trader to a noise trader, which can explain the formation of strong speculation in China stock market. On the other hand , under some condition, such as market opening , a noise trader can evolve as a information trader. In the last chapter three kinds of investors bias are given: first kind ref
ers to limited rationality, the second to poly-culture and the third to institution arrangement.
Our study has rich policy meanings. First, investors' psychological and behavioral reaction should be considered into institution supply. A wrong institutional arrangement is kind of noise and can lead to over- fluctuation of the stock market. Second, psychological adaptability of investors should be introduced into institution evolution.
Too fast institution change can lead to market chaos. Third, institution transfer should not rest on government only, grass- rooted wisdom is also a necessity.
引文
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