中国股票市场个人投资者和机构投资者的过度自信差异研究

发布时间：2018-02-27 10:34

本文关键词： 个人投资者机构投资者过度自信差异差异原因　出处：《浙江财经学院》2013年硕士论文　论文类型：学位论文

【摘要】：股票市场存在的众多异常现象已经很难用传统的金融理论加以解释，这就迫使学者敢于拓宽思路，因此在这样的背景下行为金融得到了快速发展，将心理学等知识应用到金融学之中，行为金融针对长期以来沿用的理性人假设提出了质疑，投资者往往存在许多认知偏差，而过度自信就是广泛存在的一种。关于过度自信问题的研究已经日臻完善，但仍有许多问题有待研究与解决，，本文着重研究市场上的两类投资者，即个人投资者和机构投资者在过度自信行为上的差异和原因。本文建立在Gervais，Odean（2001）提出的收入效应假设基础上，即过度自信的投资者将其在证券市场先前所获得的收益归因于其选择股票和理解信息的能力，而将失败的投资归咎于客观因素，并且在获得收益之后将变得更加过度自信，其交易也就会越频繁。为了分析个人投资者和机构投资者的过度自信差异，本文根据机构持有率高低将股票样本分为机构持有率高的和低的两组，分别衡量机构投资者和个人投资者的交易行为特征。考虑到市值规模对研究问题的影响，先根据市值大小分成规模不同的组合。本文就收入效应假设先用T检验来验证中国的A股市场是否存在过度自信现象，初步的实证结果发现中国股票市场在获得高收益后的换手率比获得低收益后的换手率高，这说明高收益在一定程度上刺激了机构投资者和个人投资者的交易欲望，并且在市值相当的情况下获得高收益后的个人投资者换手率比机构投资者更高，初步判断个人投资者比机构投资者更加过度自信。这个结论为进一步研究个人投资者和机构投资者过度自信差异提供了最重要的基础。而后本文着重通过更严谨的研究方法分析了个人投资者和机构投资者的过度自信行为差异。根据Statman，Thorley（2006）提出的过度自信效应模型建立建立滞后市场收益和现期交易量的回归方程，并且通过Wald系数检验可知这两者存在正向的因果关系，由此说明无论是个人投资者还是机构投资者都存在过度自信现象，与初步分析的结果一致。回归结果显示机构持有率低的组比高的组滞后市场收益率和现期交易量的因果关系更显著，这表明个人投资者的过度自信现象比机构投资者更为明显。为了稳健性分析本文还研究了在不同市场状况、不同市场波动以及不同股票风险三种类型下两类投资者的过度自信差异，实证结果发现个人投资者和机构投资者在市场处于上涨趋势时比较下跌时变现出更多的过度自信，这也证实了高的收益使投资者更加过度自信，并且个人投资者比机构投资者在市场上涨趋势时更过度自信；当市场波动较大、预测难度增加时，个人投资者和机构投资者表现得更加过度自信，并且个人投资者表现得比机构投资者更加过度自信，而随着市场波动幅度的下降，过度自信也随之下降，这与Griffin，Tversky（1992）所发现的在预测准确率较低时专家比业余者表现出更加过度自信的研究结果相违背；本文还发现个人投资者和机构投资者都倾向于交易较高风险的股票，并且个人投资者比机构投资者更加偏好。由上述的实证分析可得到本文的核心观点即个人投资者比机构投资者更加过度自信。随后本文分析了个人投资者和机构投资者产生过度自信差异的原因，考虑到过度自信交易者往往会高估自己所获得的私人信息，低估公开信息，本文利用个股收益率减去风险系数加权的市场收益率的绝对值来作为个股特有的信息流动，鉴于私人信息一般都是关于个股的消息，因此用个股特有的信息流动代替私人信息，建立交易量和个股信息流动的VAR模型，应用脉冲响应函数分析可知私人信息对个人投资者的交易量冲击比机构投资者的大，这说明个人投资者对自己所掌握的信息表现出更多的过度自信，从而解释了两类投资者的过度自信差异原因。
[Abstract]:Many abnormal phenomena existing in the stock market has been very difficult for the traditional financial theory to explain, which forced the scholars dare to broaden the mind, so in this background of behavioral finance has been developing rapidly, the psychology knowledge applied to finance, behavioral finance for rational people hypothesis has long been questioned. There are many investors cognitive bias, overconfidence is a widespread phenomenon. The research about overconfidence has been more and more perfect, but there are still many problems to study and solve. This paper focuses on two kinds of investors on the market, the individual investors and institutional investors overconfidence differences in behavior and the reasons.
This paper is based on the Gervais, Odean (2001) proposed the income effect based on the hypotheses that overconfident investors in the stock market before the gains attributed to the ability of their choice and understanding of stock information, and the failure of the investment due to objective factors, and then gains will become more over confident. The transaction will be more frequent. In order to analyze the overconfidence differences between individual investors and institutional investors, according to the ratio of the stock holding institutions were divided into institutions holding high and low two groups, respectively, to measure the characteristics of trading behavior of institutional investors and individual investors. Considering the influence of the size of the market value of the research questions, first according to the market value of the scale size is divided into different combinations. The income effect hypothesis by T test to verify the existence of overconfidence China A shares market, preliminary real Results of the China stock market found in obtaining high yield after the turnover rate than the low income after the turnover rate is high, the high income stimulated by institutional investors and individual investors trading desire in a certain extent, and obtain high income individual investors turnover rate is higher than the institutional investors in the market value of the case preliminary judgment, individual investors are more overconfident than institutionalinvestors. This conclusion provides the most important basis for the further study of individual investors and institutional investors' overconfidence differences. Then this paper through more rigorous research method to analyze the differences of overconfidence behavior of individual investors and institutional investors.
According to Statman, Thorley (2006) regression equation of overconfidence effect model is put forward to establish lagged market returns and current trading volume, and the causal relationship between the positive Wald coefficient test shows that both, therefore whether individual investors or institutional investors have overconfidence, and preliminary analysis was consistent with the results of the regression results. Show the causal relationship between low holding rate institutions group than group lagged market returns and the current trading volume is more significant, suggesting that overconfidence of individual investors are more obvious than institutional investors. In order to robustness analysis is studied in different market conditions, overconfidence differences between the two types of investors in different market fluctuations and different stock risk three types of empirical results show that the upward trend between individual investors and institutional investors in the market Fall show more overconfidence, which also confirmed the high returns to investors more overconfident, individual investors and institutional investors in the market than the rising trend of more overconfidence; when market volatility, the forecast difficulty increases, individual investors and institutional investors were more overconfident, and better than individual investors institutional investors are more overconfident, and with the decline in market volatility, overconfidence also decreased, and the Griffin, Tversky (1992) found in the prediction accuracy is lower than the expert amateur show more overconfidence results contrary; this paper also finds that the individual investors and institutional investors tend to the higher the risk of stock trading, individual investors and institutional investors more than preferences.
From the above empirical analysis can be the core point that individual investors more overconfident than institutionalinvestors. Then this paper analyzes the causes of individual investors and institutional investors have overconfidence, considering the overconfidence traders tend to overestimate their own private information obtained, underestimate the public information, the stock return rate minus the weighted the risk factor of the market rate of return of absolute value as the stock information flow characteristic, in view of the private information is generally about the stock news, instead of private information by stock specific information flow, establish the VAR model of trading volume and stock information flow, using the impulse response function analysis shows that the trading volume of private information the impact on individual investors than institutional investors, which shows that individual investors on their own understanding of the information show more too The reason for the overconfidence difference between the two types of investors is explained by the degree of confidence.

【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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