我国证券投资者预测能力的实证研究

发布时间：2019-04-21 15:51

【摘要】：本文利用深圳证券交易所所有投资者账户信息和交易信息,基于财富水平,将个人投资者分为小个人组、中个人组和大个人组三类,在此基础上,研究分类个人投资者和机构投资者对股票价格走势的预测能力。结果显示,个人投资者的中个人组和大个人组的预测能力与机构投资者相似,买入股票的预测能力较好,卖出股票的预测能力较差。而小个人组及个人投资者总体的预测能力较为独立,买入股票的预测能力较差,卖出股票的预测能力较好。研究表明,大公司股票和小公司股票对投资者的预测能力没有影响,但是市场走势在一定程度上影响了投资者的预测能力。
[Abstract]:Based on the information of all investors' accounts and trading information in Shenzhen Stock Exchange, based on the level of wealth, this paper divides individual investors into three categories: small group, middle group and large group. To study the ability of classifying individual investors and institutional investors to predict the trend of stock prices. The results show that the forecasting ability of middle and large groups of individual investors is similar to that of institutional investors. The forecasting ability of buying stocks is better and that of selling stocks is poor. On the other hand, the forecasting ability of small individual group and individual investor is relatively independent, the forecasting ability of buying stock is poor, and the forecasting ability of selling stock is better than that of small individual group and individual investor. The research shows that the stocks of large and small companies have no effect on the forecasting ability of investors, but the trend of market affects the forecasting ability of investors to a certain extent.
【作者单位】：东北财经大学金融学院;东北财经大学应用金融研究中心;
【基金】：国家自然科学基金项目“基于投资者结构和行为的资产定价理论与经验研究”(71171036),国家自然科学基金项目“基于制度环境的隐性终级控制权、投资者保护与公司绩效研究”(71072140),国家自然科学基金项目“不完全市场下信用衍生品定价理论和应用研究”(70871019) 教育部人文社会科学重点研究基地重大项目“利率期限结构与货币政策效果:基于中国银行业的产业组织分析”(2009JJD790004) 国家留学基金项目“中国证券投资者结构和行为对市场影响研究”(教外留[2010]1174号) 东北财经大学社会与行为跨学科研究中心招标项目“机构证券投资者结构和行为对市场影响”
【分类号】：F224;F832.51

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