我国创业板市场投资者羊群行为及反馈交易策略实证研究

发布时间：2018-01-04 08:08

本文关键词：我国创业板市场投资者羊群行为及反馈交易策略实证研究　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：2009年10月30日,我国创业板市场首批28家上市公司于深圳证券交易所正式挂牌交易,“十年磨一剑”,我国证券市场创业板时代正式来临。我国推出创业板,不但承载着能否给困境中的高成长中小企业打开融资通道的厚望,也承担着能否为国家创新战略谱写新篇的责任。创业板市场的参与者主要为个人投资者,引导其进行理性投资一直是监管部门关注的重点,同时对投资者非理性行为的研究也是行为金融学的重点研究领域。那么,与我国主板相比,个人投资者在创业板市场的交易行为具有哪些特点?他们的交易行为是否会受市场行情影响?如何针对他们的行为和动机做好投资者投资者教育和适当性管理? 为解答上述问题,本文选取我国主板市场沪深300指数及其成分股收益率数据、创业板纯价格指数及其成分股收益率数据和某证券公司创业板市场投资持股明细数据等市场数据,将我国主板和创业板市场投资者羊群行为进行了比较分析,同时对我国创业板市场投资者因市场变化而采取的惯性反向交易策略进行了实证分析。对于主板和创业板投资者羊群行为的研究上,本文采用了保守但数据易于获取的个股收益率的分散度测度方法,通过计算主板与创业板市场个股收益率的分散度来比较两者之间的差异。根据这一测度方法本文得出我国主板、创业板市场的分散度指标值分别为0.0246和0.0291,创业板市场个股收益率的分散度要高于主板市场：同时,本文在市场收益率极高和收益率极低的市场行情下对分散度指标进行了回归分析,主板投资者在市场下挫时有明显的羊群行为,但在市场上涨时羊群行为特征则不明显,与主板投资者的羊群行为完全相反,创业板投资者在市场上涨时表现出明显的羊群行为,但在市场下跌时羊群行为特征则不明显。在对我国创业板市场投资者惯性反向交易策略的研究上,本文采用了大多数学者所使用的GTW(1995)方法,并将传统的GTW方法进行了部分改良。通过研究发现,我国创业板市场倾向于“追涨杀跌”的惯性交易策略,但面对上一周期表现不佳的股票时,交易策略出现了分歧,部分投资者倾向于“低买”,而另一部分投资者则倾向于“杀跌”。最后,本文认为上述分析结果是由我国股市长期以来的“政策市”、投资者理念、创业板上市公司特点、创业板投资者结构和渐显成效的投资者教育工作等多种因素综合形成的。针对上述原因,本文提出了有针对性地做好创业板市场投资者教育工作,建立并完善多层次的证券投资者服务体系,完善基金、券商集合理财等机构投资者评价标准,对其投资行为进行引导,强化上市公司信息披露制度,严厉打击游资的“炒新”和概念炒作等炒作行为等政策建议。
[Abstract]:In October 30th 2009, the first 28 listed companies listed on the gem were officially listed on the Shenzhen Stock Exchange. The gem era of China's securities market is officially approaching. The launch of the gem not only carries the hope of opening up financing channels for the high-growth SMEs in the predicament. Gem market participants are mainly individual investors, leading its rational investment has been the focus of regulatory attention. At the same time, the research of investors' irrational behavior is also the key research field of behavioral finance. So, compared with the main board of our country, what are the characteristics of individual investors' trading behavior in the gem market? Will their trading be influenced by the market? How to do investor education and appropriate management according to their behavior and motivation? In order to answer the above questions, this paper selects the data of the CSI 300 index and its constituent stock yield in China's main board market. The paper compares the herd behavior of investors on the main board of China and the gem market by comparing the data of pure price index of gem and its component stock return data and the detailed data of investment and shareholding of a certain securities company in the gem market. At the same time, the paper makes an empirical analysis on the inertial reverse trading strategy adopted by the investors in the gem market because of the market changes. For the main board and gem investors herd behavior research, this paper uses conservative but easy to obtain data to measure the dispersion of the return of individual stocks. By calculating the dispersion of the return rate of individual stocks in the main board and the gem market, the difference between them is compared. According to this measurement method, this paper draws the conclusion of the main board of our country. The dispersion index value of gem market is 0.0246 and 0.0291 respectively. The dispersion degree of individual stock yield of gem market is higher than that of main board market: at the same time. This paper makes regression analysis on the dispersion index in the market with extremely high market yield and extremely low yield. The main board investors have obvious herd behavior when the market falls. However, when the market is rising, the characteristics of herd behavior is not obvious. In contrast to the herd behavior of the main board investors, gem investors show obvious herd behavior when the market is rising. But when the market falls, the characteristics of herd behavior are not obvious. In the research on the strategy of inertia reverse trading of investors in gem, this paper adopts the GTW1995 method, which is used by most scholars. And the traditional GTW method is partly improved. Through the research, we find that the gem market in China tends to "chase up and kill down" inertial trading strategy, but in the face of the last cycle of poor performance of the stock. Trading strategies diverged, with some investors favouring "low buying" and others leaning "down". Finally, this paper thinks that the above analysis result is from our country stock market for a long time "the policy market", the investor idea, the gem listed company characteristic. Gem investors structure and gradually effective investor education work and other factors formed. In view of the above reasons, this paper puts forward to do a good job of gem investors education. Establish and perfect the multi-level securities investor service system, perfect the evaluation standard of institutional investors, such as funds and securities firms' collective financing, guide their investment behavior, and strengthen the information disclosure system of listed companies. Severely crack down on hot money "speculation" and concept speculation and other policy recommendations.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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