证券涨跌幅对投资者短期交易行为影响的实证研究

【作者】 陈睿鑫；

【导师】 姚铮；

【作者基本信息】 浙江大学 ， 会计学， 2003， 硕士

【摘要】 行为金融学是一门新兴的交叉学科，其与标准金融学的区别在于致力于描述投资者的决策过程而不是告诉投资者如何进行投资决策。行为金融学以投资者的交易行为为研究重点。证券价格变化是影响投资者交易行为的重要因素，投资者在接受各种信息之后所作出的决策最终也体现为证券价格的变化。因此，本文以证券的涨跌幅度(证券价格变化)为中心事件，从过度反应检验入手来研究投资者的交易行为。在进行了过度反应检验之后，本文以现有的行为金融学理论为基础构建了行为金融学的分析框架，以此框架对过度反应检验的实证分析结果进行了分析。 本文得出的研究结论为： 1．中国证券市场在短期内不存在过度反应现象，收益在10天的时间窗口内表现出显著的惯性效应。说明证券出现涨跌幅变化之后，投资者的交易行为是沿着涨跌幅的方向持续地背离市场价值，而不是向市场价值回归(反转效应)。 2．上海证券市场的A股、B股和基金，惯性效应的显著性不同，A股最为显著。随着时间推移，显著性在不断减弱。 3．上升波段和下降波段组合差值的构成比例不同。上升波段，组合差值主要由winner组合构成；下降波段，组合差值主要由loser组合构成。 4．涨跌幅度不同对投资者的交易行为产生影响。 本文的主要贡献在于： 1．对中国证券市场的投资者交易行为进行了短期过度反应的检验。此前，国内的过度反应检验缺少日间数据的研究。 2．以现有行为金融学理论为基础构筑了新的行为金融学框架，并以此框架对检验结果进行了分析，对于A股市场的实证结果取得了满意的分析效果，推广了行为金融学理论的实际应用。更多还原

【Abstract】 Behavioral finance is a new intercross subject. It dedicates to describe the decision-making process of the investors but not to tell the investors how to make the investment decision, which is the difference between behavioral finance and the classical finance. The research pivot of behavioral finance is trading action of the investors and the key factor that affects trading action of the investors is the movement of the price of security. The decision the investors have made after they received all kinds of information materialize the movement of the price of the security ultimately. So, this paper define the extent of the price movement of the security as focus event, and discuss the investor behavior by the overreaction test. After tested the overreaction hypothesis, the paper build a behavioral financial analysis frame based on the existing behavioral financial theories and analyze the empirical results in the frame.The paper reaches some conclusions as follows:1. There is not short-term overreaction in Chinese security market. The return manifests distinct momentum effect. This tells us that the investors’ trading action deviate from the mean value continually more than regress to it after the price movement.2. There is difference of t value between the A shares ,B shares and funds of Shanghai security market. The t value of A shares is the most distinct. As time passed, t value turned unconspicuous.3. The proportion of the difference of the portfolios is different between the up phase and the down phase. In the up phase, the difference of the portfolios is constituted mainly by the winner portfolio. Whereas, in the down phase , it is constituted mainly by the loser portfolio.4. The different extent of the price movement affect the investors’ trading action differently.The contributions of the paper include:1. Test the short-term overreaction hypothesis of the investors’ trading action in Chinese security market for the first time. Erenow, there is not test of overreaction with data of days in China.2. Build a new behavioral financial frame based on the existed behavioral financial theories, and interpreted the empirical results under the frame. For Ashares, we have obtained a satisfying analytical result and extend the application of the behavioral financial theories.更多还原