中国证券投资者买卖决策的实证研究  

Empirical Research on Selling and Buying Decisions of Chinese Stock Investors

作　　者：何基报[1] 鲁直[2] 

机构地区：[1]深圳证券交易所综合研究所,深圳518028 [2]复旦大学管理学院,上海200433

出　　处：《复旦学报（自然科学版）》2006年第5期585-593,共9页Journal of Fudan University：Natural Science

基　　金：国家自然科学基金资助项目(70103004)

摘　　要：利用某营业部近万个帐户3年的交易数据,对哪些因素影响以及如何影响中国证券投资者的卖出与买入选择进行研究.结果表明:1)近期个股价格的变化、历史波动、大盘历史走势与波动均对买卖决策有不同程度的影响,影响方式与Grinblatt和Keloharju的研究结果有所差异;2)在新增变量中,个股历史换手率变化、重大政策和事件、历史价格和成交量的变化趋势及形态、市场普遍大涨(大跌)等均对买卖选择产生显著影响,但对大小投资者的影响方式和方向是不一样的;3)在上市公司的13种重大公告的当日或后一交易日,投资者的买卖倾向没有显著变化,而在对待大盘的走势上,小投资者更多采取惯性交易策略,而大投资者则采取反向交易.What makes investors sell or buy and how these factors work with three year＇ s trading data from one security company are studied. Individual stock＇s history return and volatility, and whole market history trend and volatility do somewhat affect investor＇ s decision. Nevertheless the ways they worked are different from those in Grinblatt and Keloharju. Among those new-added in this research, changes in individual stock＇s history turnover rate, important policies and events, the historical trend and pattern of price and trading volume, and stock market＇ s rising or falling also have noticeable impact on investor＇s trading decision, but their influences are different for investors with varying capital. Investor＇s selling or buying inclinations are as usual at the first day or second day after any thirteen kinds of important information disclosure. In response to market＇s trend investors with relatively less capital will be more inclined to adopt momentum-investing strategy while those with more capital will take contrarian-investing strategy.

关 键 词：卖出倾向 正市场调整收益 负换手率 惯性交易 行为金融 

分 类 号：F830.59[经济管理—金融学]