超短期内机构投资者的交易策略及收益预测性研究

发布时间：2018-01-14 00:02

本文关键词：超短期内机构投资者的交易策略及收益预测性研究　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：近年来,随着我国机构投资者队伍的不断壮大,机构投资者的交易行为与股票收益之间的关系成为学术界研究的热点。然而,已有的实证文献大多没有对交易行为进行直接研究,而主要基于持股比例变动这种间接的方法来衡量机构投资者的交易行为。本文的实证研究部分以2011-2012两年的大笔交易数据和日个股交易数据为样本,采用Kaniel,Saar,Titman(2008)的方法,在国内首次建立了能够直接衡量机构投资者交易行为的指标——机构净交易指标NIT (Net Institute Trading),通过该指标构建机构投资者“剧烈净交易”集合,进而探讨了超短期内机构投资者的交易行为与历史收益和未来收益之间的关系。此外,本文还利用市场参与者博弈模型的相关结果为实证研究提供了理论支持。本文的第一个研究结论是超短期内机构投资者采取惯性策略进行交易。第二个研究结论是超短期内机构投资者的交易行为具备正向收益预测性,且这种预测能力可以独立于股价的惯性或反转效应以及成交量等因素存在。在对交易策略进行实证研究的部分,本文的方法是求出“剧烈净交易”集合的历史收益,之后通过均值检验获得机构投资者的交易策略。在对收益预测性进行实证研究的部分,文章通过单因素、双因素和多因素三步分析得到结论。本文揭示了这样一个现象：当股票价格不断下跌并且机构投资者剧烈卖出时,该股票在后期将继续呈现超额负收益；反之,当股票价格处于上涨状态并且机构投资者剧烈买入时,该股票在后期将继续呈现超额正收益。对于市场中信息解读能力较差的个人投资者而言,他们可以通过观察股价走势和机构投资者的交易行为,辅助自己的投资决策并获得收益。
[Abstract]:In recent years, along with the institutional investors in China continues to grow, the relationship between stock returns and trading behavior of institutional investors has become the focus of academic research. However, most of the existing empirical literature did not study directly on the trading behavior, which is mainly based on the trading behavior of the proportion of shareholding changes this indirect method to measure the institutional investors. In the empirical part of this paper to large amounts of transaction data and 2011-2012 for two years on stock trading data as samples, using Kaniel, Saar, Titman (2008) method is established for the first time in China -- net trading index NIT index can directly measure of trading behavior of institutional investors (Net Institute Trading), through the construction of index mechanism investors "severe net transaction" collection, and then discusses between the trading behavior and historical return of the ultra short term institutional investors and not to return In addition, this paper also provides theoretical support for empirical research by using the related results of the game model of market participants.
The conclusion of this paper is the first ultra short term institutional investors take momentum trading strategy. Second conclusions are trading behavior of ultra short term institutional investors have positive earnings forecast, and this capacity can be independent of price and volume inertia or reversal effect and other factors. In the empirical research on trading strategies in part, the method of this paper is to find out "severe net transaction" collection of the historical return, after obtaining institutional investors trading strategies through the mean test. In the empirical study of earnings forecast part, through single factor, double factors and multi factor three step analysis conclusions.
This paper reveals such a phenomenon: when the stock price falling and institutional investors to sell the stock sharply, will continue to show negative excess returns in the late stage; conversely, when the stock price rising status and institutional investors sharply when buying, the stock will continue to show the excess positive return at a later stage. For the market information interpretation ability for individual investors, they can observe the trading behavior through stock price movements and institutional investors, aided their investment decisions and get benefits.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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