中国投资者行为的实验与实证研究
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摘要
由于标准金融学无法解释现实中的大量异象，行为金融学作为一门独立学科迅速发展起来了。行为金融学主要从实证的角度研究人们如何理解和利用信息，并做出投资决策，以及在此过程中，人的行为认知偏差对决策的影响。行为金融学中的许多实验与实证研究表明，金融市场参与者的行为模式并不是理性的、可预期的和无偏的，事实上，他们的行为经常出现谬误，并且经常导致市场异象的产生。本文试图分别从个体投资者的决策行为、机构投资者的羊群行为与反馈交易以及市场的过度反应与反应不足三个不同的角度对中国投资者行为进行实验与实证研究。
对于我国的个体投资者，我们运用心理学实验来研究个人投资者在股价连续涨跌时的心理预期以及交易行为。实验研究发现，无论股价连续上涨还是下跌，在中国资本市场上具有较高教育程度的个人投资者或潜在个人投资者中，
“赌徒谬误”效应对股价序列变化的作用均要强于“热手效应”，占据主导地位。在股价连续上涨的情况下，随着上涨时间加长，他们认为下一期股价下跌的可能性越来越大，从而卖出的倾向增大，而买进的倾向变小；股价连续下跌时，随着下跌的时间加长，投资者认为下一期股价上涨的可能性越来越大，从而买进的倾向增大，卖出的倾向减小。这一结果表明，在中国股票市场处于中长期“熊市”中时，至少较高知识水平的个体投资者存在期望市场回升的基本心理动力。实验也发现了这些投资者存在着明显的“处置效应”，即股价上涨时倾向于卖出；股价下跌时则倾向于继续持有，该效应在女性及专业投资知识与经验程度较低的投资者身上更加明显。
对于我国的机构投资者，我们采用1999年第四季度至2004年第四季度，我国证券基金对所有A股公司的持有份额数据进行检验。研究表明，在羊群期间内，我国证券投资基金持有股票份额的变化与股票收益有很强的正相关，而且考虑了公司规模效应后这种关系仍然存在。羊群季度内基金所从事的正反馈交易比其它投资者更明显，并且(或者)基金的羊群行为对价格的影响比个体投资者更大。研究的结果支持我国证券基金要比其它投资者拥有更多的信息，且基金的交易行为造成了随后股票价格的持续波动，并且基金的正反馈交易与羊群行为并不受到公司规模的影响。
关于过度反应与反应不足效应，我们着重研究中国股市在“牛市”与“熊市”两个阶段的过度反应与反应不足。研究结果发现了，“牛市”与“熊市”两个不同的时期中，市场心理确实有着巨大的差异。输者组合在“牛市”中表现为过度反应，“熊市”中表现为反应不足：而赢者组合则在“牛市”中表现为反应不足，
“熊市”中表现为过度反应。文中对可能的原因进行了分析。
Behavioral finance become popular because traditional finance couldn't explain all anomalies in reality. Lots of researche in behavioral finance focus on how investor process and use information to make decision and what's the effect of cognitive biases on investor's decision from empirical angle,. And many experiments and empirical studies suggest that human behavior in financial market is not rational,expectable and unbiased. Some errores often appear in their behavior,which result in market anomalies regularly. In this dissertation, we will focus on Chinese investors' behavior from individual investors' decision making, institutional investors' herding and feedback trading, and market overreaction and underreaction.
About individual investors in China market, we found that whenever stock price goes up or goes down continuously, gambler's fallacy will dominate hot-hand effect in investor's information process to serial changing stock price with psychological experiments. When stock price goes up continuously, the longer the price up, the larger is the probability that investor think the price will drop down in next period, and the tendency to sell it get more evident. On the other hand, when stock price drops down continuously, the longer the price down, the larger is the probability that investor think the price will go up in next period, and the tendency to buy it became larger. These results suggest that at least psychological factor exist in the individual investor that hope the market will reverse to bullish in today's bearish Chinese stock market. Disposition effect is also found in the experiments, which is more evident in female investor than in male investor and more evident in the investor with low level investment knowledge and less experience than those with higher level. Experiments also indicate that Chinese investors like short-term investing which is much shorter than one year.
In the study on institutional investors of China, with the quarterly data from the forth quarter in 1999 to the forth quarter in 2004 which is the percentage of fund holding of the all A share stock in China, we found that in the percentage change of fund holding positively correlate with the stock return after controlling the effect of the company size in herding interval. The results suggest that either institutional investors positive-feedback trade more than other investors or institutional herding impacts prices more than herding by other investors.We also found that instituitonal investors have more useful information than other investors, and theire trading
In the study of overreaction and underreaction of bullish and bearish market if China, we find obvious differences in market behavior in bullish and bearish phases. Loser portfolio appears overreaction in bullish market and underreaction in bearish market while winner portfolio appears underreation in bullish market and underreaction in bearish market.Possible reasons are provided in the end.
对于我国的个体投资者，我们运用心理学实验来研究个人投资者在股价连续涨跌时的心理预期以及交易行为。实验研究发现，无论股价连续上涨还是下跌，在中国资本市场上具有较高教育程度的个人投资者或潜在个人投资者中，
“赌徒谬误”效应对股价序列变化的作用均要强于“热手效应”，占据主导地位。在股价连续上涨的情况下，随着上涨时间加长，他们认为下一期股价下跌的可能性越来越大，从而卖出的倾向增大，而买进的倾向变小；股价连续下跌时，随着下跌的时间加长，投资者认为下一期股价上涨的可能性越来越大，从而买进的倾向增大，卖出的倾向减小。这一结果表明，在中国股票市场处于中长期“熊市”中时，至少较高知识水平的个体投资者存在期望市场回升的基本心理动力。实验也发现了这些投资者存在着明显的“处置效应”，即股价上涨时倾向于卖出；股价下跌时则倾向于继续持有，该效应在女性及专业投资知识与经验程度较低的投资者身上更加明显。
对于我国的机构投资者，我们采用1999年第四季度至2004年第四季度，我国证券基金对所有A股公司的持有份额数据进行检验。研究表明，在羊群期间内，我国证券投资基金持有股票份额的变化与股票收益有很强的正相关，而且考虑了公司规模效应后这种关系仍然存在。羊群季度内基金所从事的正反馈交易比其它投资者更明显，并且(或者)基金的羊群行为对价格的影响比个体投资者更大。研究的结果支持我国证券基金要比其它投资者拥有更多的信息，且基金的交易行为造成了随后股票价格的持续波动，并且基金的正反馈交易与羊群行为并不受到公司规模的影响。
关于过度反应与反应不足效应，我们着重研究中国股市在“牛市”与“熊市”两个阶段的过度反应与反应不足。研究结果发现了，“牛市”与“熊市”两个不同的时期中，市场心理确实有着巨大的差异。输者组合在“牛市”中表现为过度反应，“熊市”中表现为反应不足：而赢者组合则在“牛市”中表现为反应不足，
“熊市”中表现为过度反应。文中对可能的原因进行了分析。
Behavioral finance become popular because traditional finance couldn't explain all anomalies in reality. Lots of researche in behavioral finance focus on how investor process and use information to make decision and what's the effect of cognitive biases on investor's decision from empirical angle,. And many experiments and empirical studies suggest that human behavior in financial market is not rational,expectable and unbiased. Some errores often appear in their behavior,which result in market anomalies regularly. In this dissertation, we will focus on Chinese investors' behavior from individual investors' decision making, institutional investors' herding and feedback trading, and market overreaction and underreaction.
About individual investors in China market, we found that whenever stock price goes up or goes down continuously, gambler's fallacy will dominate hot-hand effect in investor's information process to serial changing stock price with psychological experiments. When stock price goes up continuously, the longer the price up, the larger is the probability that investor think the price will drop down in next period, and the tendency to sell it get more evident. On the other hand, when stock price drops down continuously, the longer the price down, the larger is the probability that investor think the price will go up in next period, and the tendency to buy it became larger. These results suggest that at least psychological factor exist in the individual investor that hope the market will reverse to bullish in today's bearish Chinese stock market. Disposition effect is also found in the experiments, which is more evident in female investor than in male investor and more evident in the investor with low level investment knowledge and less experience than those with higher level. Experiments also indicate that Chinese investors like short-term investing which is much shorter than one year.
In the study on institutional investors of China, with the quarterly data from the forth quarter in 1999 to the forth quarter in 2004 which is the percentage of fund holding of the all A share stock in China, we found that in the percentage change of fund holding positively correlate with the stock return after controlling the effect of the company size in herding interval. The results suggest that either institutional investors positive-feedback trade more than other investors or institutional herding impacts prices more than herding by other investors.We also found that instituitonal investors have more useful information than other investors, and theire trading
In the study of overreaction and underreaction of bullish and bearish market if China, we find obvious differences in market behavior in bullish and bearish phases. Loser portfolio appears overreaction in bullish market and underreaction in bearish market while winner portfolio appears underreation in bullish market and underreaction in bearish market.Possible reasons are provided in the end.
引文
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