股市震荡中投资者交易行为研究

发布时间：2018-07-06 19:56

本文选题：股市震荡 + 投资者行为　；参考：《证券市场导报》2010年11期

【摘要】：本文以2007年2月27日和5月30日两次股市大跌为研究对象,利用上海证券交易所投资者高质量的账户交易数据对不同类型投资者大跌当日及其前后几日的买卖交易行为进行统计分析,并基于向量自回归(VAR)模型方法对各类投资者的交易策略及其影响股市大跌的研究发现,D类机构(主要是公募基金)和散户中的大户对市场有重要影响力,其交易行为不仅会影响随后的股价涨跌,也会影响到中小散户的交易策略,他们是上海股市中的知情交易者,且两类投资者在交易策略上存在较为显著的正相关关系;中小散户扮演了噪音交易者角色,其大量交易为大户提供了流动性;B类机构(主要是法人机构)和D类机构在交易行为上有一定程度的羊群行为。论文研究也为一直以来争论不休的机构投资者的市场稳定功能问题提供了一个新的分析视角,即不同类型机构投资者在股市大跌中的交易行为及其在股市大跌中扮演的角色是存在差异的。
[Abstract]:This paper focuses on the stock market crash on February 27 and May 30, 2007. Using the high-quality account trading data of investors on the Shanghai Stock Exchange, this paper makes a statistical analysis on the trading behavior of different types of investors on and around the day of the sharp drop. Based on vector autoregressive (VAR) model, the paper studies the trading strategies of all kinds of investors and their impact on the stock market. It is found that the large investors in class D institutions (mainly public funds) and retail investors have important influence on the market. Their trading behavior will not only affect the subsequent stock price rise and fall, but also affect the trading strategy of small and medium-sized retail investors, they are informed traders in the Shanghai stock market, and the two types of investors in the trading strategy has a more significant positive correlation; Small and medium-sized retail investors play the role of noise traders, and a large number of transactions provide liquidity for large investors. B type institutions (mainly corporate bodies) and D institutions have a certain degree of herding behavior. This paper also provides a new perspective for the analysis of the market stability function of institutional investors, which has been debated for a long time. That is, the trading behavior of different types of institutional investors in the stock market tumble and their role in the stock market crash are different.
【作者单位】：南京大学工程管理学院;
【基金】：国家自然基金重点项目(70932003);国家自然科学基金项目(70671053,70701016,10726072,70901037) 国家社会科学基金(07CJL014) 教育部人文社会科学研究项目(09YJCZH061);教育部科技创新工程重大项目培育资金项目(708044)支持
【分类号】：F224;F832.51

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