投资者“热手效应”与“赌徒谬误”的心理实验研究  

Psychological Experimental Study on Hot-hand Effect and Gambler's Fallacy

作　　者：林树[1] 俞乔[2] 汤震宇[3] 周建[3] 子璇(校对) 

机构地区：[1]南京大学商学院会计学系,210093 [2]清华大学公共管理学院和复旦大学管理学院,100084 [3]复旦大学管理学院,200433 [4]不详

出　　处：《经济研究》2006年第8期58-69,共12页Economic Research Journal

摘　　要：本文运用心理学实验研究发现,无论股价连续上涨还是下跌,在中国资本市场上具有较高教育程度的个人投资者或潜在个人投资者中,“赌徒谬误”效应对股价序列变化的作用均要强于“热手效应”,占据主导地位。在股价连续上涨的情况下,随着上涨时间加长,他们认为下一期股价下跌的可能性越来越大,从而卖出的倾向增大,而买进的倾向变小;股价连续下跌时,随着下跌的时间加长,投资者认为下一期股价上涨的可能性越来越大,从而买进的倾向增大,卖出的倾向减小。这一结果表明,在中国股票市场处于中长期“熊市”中时,至少较高知识水平的个体投资者存在期望市场回升的基本心理动力。实验也发现了这些投资者存在着明显的“处置效应”,即股价上涨时倾向于卖出,股价下跌时则倾向于继续持有,该效应在女性及专业投资知识与经验程度较低的投资者身上更加明显。With psychological experiments, we found that whenever stock price goes up or goes down continuously, gambler＇s fallacy will dominate hot-hand effect in investor＇s information process to serial changing stock price. When stock price goes up continuously, the longer the price up, the larger is the probability that investor think the price will drop down in next period, and the tendency to sell it gets more evident. On the other hand, when stock price drops down continuously, the longer the price down, the larger is the probability that investor think the price will go up in next period, and the tendency to buy it became larger. These results suggest that at least psychological factor exists in the individual investor that hope the market will reverse to bullish in today＇s bearish Chinese stock market. Disposition effect is also found in the experiments, which is more evident in female investor than in male investor and more evident in the investor with low level investment knowledge and less experience than those with higher level. Experiments also indicate that Chinese investors like short-term investing which is much shorter than one year.

关 键 词：热手效应 赌徒谬误 心理学实验 处置效应 

分 类 号：F832.51[经济管理—金融学] F224