股票名称与股票价格非理性联动——中国A股市场的研究
发布时间：2018-10-29 20:58
【摘要】：本文利用中国A股市场中独特的配对股票样本对股票价格间的"非理性联动"现象进行了研究,并探讨了导致这种非理性联动的原因。本文发现:(1)仅名称相似,但没有其他相关性的配对股票收益率之间存在很高的正相关性;(2)比较名称变更前后股票收益率相关性的变化发现,名称变更对股票之间的联动性具有显著影响;(3)与机构投资者相比,个人投资者更容易对名称相似的配对股票产生混淆;另外,投资者情绪变化幅度越大,配对股票之间的联动性越高,说明投资者情绪变化对配对股票之间的联动起到了放大作用;除此以外,对配对股票来说,如果一只股票价格变动反映的是"坏消息"("好消息"),则该股票收益率对另一只股票的收益率具有更高(低)的解释力,意味着投资者由于损失厌恶而对"坏消息"的反应程度要大于对"好消息"的反应程度。
[Abstract]:In this paper, the "irrational linkage" between stock prices is studied by using the unique matched stock samples in the A-share market of China, and the reasons leading to this irrational linkage are discussed. It is found that: (1) there is a high positive correlation between the returns of paired stocks with only similar names but no other correlations; (2) comparing the change of stock return before and after the change of name, it is found that the change of name has a significant impact on the linkage between stocks; (3) compared with institutional investors, individual investors are more likely to confuse similar names of matched stocks; In addition, the greater the change of investor's emotion, the higher the linkage between paired stocks, which indicates that the change of investor's emotion plays a magnifying role in the linkage between paired stocks. In addition, for a paired stock, if a stock price change reflects "bad news" ("good news"), the stock yield has a higher (lower) explanation for the return of another stock. That means investors react more to "bad news" than to "good news" as a result of loss aversion.
【作者单位】： 中国社会科学院金融研究所;北京大学光华管理学院金融系;
【基金】：国家自然科学基金创新群体项目“行为金融:心理偏差、投资行为与资产定价”(项目编号71021001)的阶段性成果之一
【分类号】：F224;F832.51
，
本文编号：2298808
[Abstract]:In this paper, the "irrational linkage" between stock prices is studied by using the unique matched stock samples in the A-share market of China, and the reasons leading to this irrational linkage are discussed. It is found that: (1) there is a high positive correlation between the returns of paired stocks with only similar names but no other correlations; (2) comparing the change of stock return before and after the change of name, it is found that the change of name has a significant impact on the linkage between stocks; (3) compared with institutional investors, individual investors are more likely to confuse similar names of matched stocks; In addition, the greater the change of investor's emotion, the higher the linkage between paired stocks, which indicates that the change of investor's emotion plays a magnifying role in the linkage between paired stocks. In addition, for a paired stock, if a stock price change reflects "bad news" ("good news"), the stock yield has a higher (lower) explanation for the return of another stock. That means investors react more to "bad news" than to "good news" as a result of loss aversion.
【作者单位】： 中国社会科学院金融研究所;北京大学光华管理学院金融系;
【基金】：国家自然科学基金创新群体项目“行为金融:心理偏差、投资行为与资产定价”(项目编号71021001)的阶段性成果之一
【分类号】：F224;F832.51
，
本文编号：2298808
本文链接：https://www.wllwen.com/guanlilunwen/bankxd/2298808.html
