基于地域性偏好下的股价偏差问题的研究
发布时间：2019-04-18 07:43
【摘要】：投资者的行为偏差一直是行为金融学理论研究的核心问题之一,投资者在进行投资决策时所表现出来的地域性偏好,就属于一种行为偏差,对股票价格变动和投资者的投资收益都有非常重要的影响。 首先以山东省青岛市投资者为例,使用账户数据对投资者是否存在地域性偏好进行了测量,并对投资者地域性偏好与投资者交易金额之间的关系进行了分析。然后选取2000-2010年之间的A股数据,采用面板数据的个体固定效应模型进行实证检验,分析当投资者存在地域性偏好时,会对股票价格变动产生的影响。最后,将中国东部、中部、西部地区的实证结果进行对比分析,并采用公司股东人数作为衡量公司知名度的指标,验证公司知名度、利率、存款准备金率以及股权集中度等因素能否对上述的结论产生影响。 实证结果表明：投资者的地域性偏好会引起股票价格反向变动,即如果投资者具有强烈的地域性偏好,就会引起股票价格下降,而这种现象对于知名度越小的公司,就会越明显。如果考虑了利率、存款准备金以及股权集中度这三个因素,地域性偏好与股票价格之间的反向变动的关系就会消失,即相比较利率、存款准备金和股权集中度,地域性偏好对股票价格的影响并不显著。
[Abstract]:The behavior deviation of investors has always been one of the core problems in the theory of behavioral finance. The regional preference of investors in investment decision-making belongs to a kind of behavior deviation. It has a very important impact on stock price changes and investors' investment returns. Firstly, taking Qingdao investors in Shandong Province as an example, this paper uses account data to measure whether investors have regional preference, and analyzes the relationship between investors' regional preference and investor transaction amount. Then the A-share data from 2000 to 2010 are selected and the individual fixed effect model of panel data is used for empirical test to analyze the impact on stock price changes when investors have regional preferences. Finally, the empirical results of eastern, central and western China are compared and analyzed, and the number of shareholders of the company is used as an indicator to measure the popularity of the company to verify the popularity and interest rate of the company. Whether such factors as reserve requirement ratio and equity concentration can influence the above conclusions. The empirical results show that investors' regional preference will cause reverse changes in stock prices, that is, if investors have strong regional preferences, they will cause stock prices to fall, and this phenomenon for the less well-known companies, The more obvious it will be. If three factors such as interest rate, deposit reserve and equity concentration are taken into account, the reverse relationship between regional preference and stock price will disappear, that is, comparative interest rate, deposit reserve and equity concentration. The influence of regional preference on stock price is not significant.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224
本文编号：2459870
[Abstract]:The behavior deviation of investors has always been one of the core problems in the theory of behavioral finance. The regional preference of investors in investment decision-making belongs to a kind of behavior deviation. It has a very important impact on stock price changes and investors' investment returns. Firstly, taking Qingdao investors in Shandong Province as an example, this paper uses account data to measure whether investors have regional preference, and analyzes the relationship between investors' regional preference and investor transaction amount. Then the A-share data from 2000 to 2010 are selected and the individual fixed effect model of panel data is used for empirical test to analyze the impact on stock price changes when investors have regional preferences. Finally, the empirical results of eastern, central and western China are compared and analyzed, and the number of shareholders of the company is used as an indicator to measure the popularity of the company to verify the popularity and interest rate of the company. Whether such factors as reserve requirement ratio and equity concentration can influence the above conclusions. The empirical results show that investors' regional preference will cause reverse changes in stock prices, that is, if investors have strong regional preferences, they will cause stock prices to fall, and this phenomenon for the less well-known companies, The more obvious it will be. If three factors such as interest rate, deposit reserve and equity concentration are taken into account, the reverse relationship between regional preference and stock price will disappear, that is, comparative interest rate, deposit reserve and equity concentration. The influence of regional preference on stock price is not significant.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224
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