【作者】 朱剑波；

【导师】 裴平；

【作者基本信息】 南京大学 ， 金融学， 2012， 硕士

【摘要】 本文按照传播过程将股票市场中的信息分为原始信息、可获得信息、决策信息与主观决策信息四类。本文通过对股市中机构投资者与个人投资者在信息调查资源、注意力资源和理性程度三种能力上差异进行分析,比较了两类投资者对四种层次信息的占有程度,并分析了两类投资者处在各自信息不确定情景下的可能交易策略及信息反应特征。本文认为机构投资者信息获取渠道多,注意力资源丰富,理性能力强,所以在信息占有上相较于个人投资者处于绝对优势地位,具体表现为机构投资者在交易决策过程中的可获得信息集更大,从原始信息到主观决策信息的信息转变过程中信息失真度更小,对信息的反应速度更快。最后本文通过对中国上海证券交易所A股上市股票2010年至2011年度交易数据的实证检验,验证了相关信息反应特征假设。更多还原

【Abstract】 According to the process of communication, this paper divided stock information into four categories. They are (1) Raw information,(2) Available information,(3) Decision-making information,(4) Subjective decision-making information. This article compared the differences between institutional investors and individual investors in the capacity of investigation resources, attention resources and rationality. While comparing the different scale of information that the two types of investors may enjoy, we analyzed the trading strategy and the reaction behavior of the Two in their respective information uncertainty. This paper argues that institutional investors have more access to stock information channels, is rich in attention resources, and also have strong ability in reasoning, so they are in a dominant position. Finally, the paper made an empirical test of the transaction data on the basis of A shares listed in SSE to verify the inferences of reaction behavior.更多还原