股市震荡中投资者交易行为研究  

A study of the investor behavior during the stock market concussion

作　　者：肖斌卿[1] 王强松[1] 

机构地区：[1]南京大学工程管理学院,江苏南京210008

出　　处：《证券市场导报》2010年第11期67-71,共5页Securities Market Herald

基　　金：国家自然基金重点项目(70932003);国家自然科学基金项目(70671053;70701016;10726072;70901037);国家社会科学基金(07CJL014);教育部人文社会科学研究项目(09YJCZH061);教育部科技创新工程重大项目培育资金项目(708044)支持

摘　　要：本文以2007年2月27日和5月30日两次股市大跌为研究对象,利用上海证券交易所投资者高质量的账户交易数据对不同类型投资者大跌当日及其前后几日的买卖交易行为进行统计分析,并基于向量自回归(VAR)模型方法对各类投资者的交易策略及其影响股市大跌的研究发现,D类机构(主要是公募基金)和散户中的大户对市场有重要影响力,其交易行为不仅会影响随后的股价涨跌,也会影响到中小散户的交易策略,他们是上海股市中的知情交易者,且两类投资者在交易策略上存在较为显著的正相关关系;中小散户扮演了噪音交易者角色,其大量交易为大户提供了流动性;B类机构(主要是法人机构)和D类机构在交易行为上有一定程度的羊群行为。论文研究也为一直以来争论不休的机构投资者的市场稳定功能问题提供了一个新的分析视角,即不同类型机构投资者在股市大跌中的交易行为及其在股市大跌中扮演的角色是存在差异的。Based on the collapses of China’s stock market on February 27 and May 30, 2007, using the high-quality account transaction data of different types of investors in the Shanghai Stock Exchange, we study the trading strategies of different investors and their impacts in the market by the Vector Automatic Regression （VAR） model, and we find that the Class D and Large account investors are most influential in the market, for their trading behavior will affect not only the subsequent rise and fall of stock prices, but also individual investor’s trading strategies, and they are informed investors in the Shanghai Stock Market and there is a significant positive correlation between the trading strategies of the two types of investors. The retail traders are noise traders, contributing to asset liquidity for the large account investors. To a certain degree, the Class B （mainly corporate bodies） and Class D institutional investors’ trading behavior reveals the Herd Behavior effect. This paper also provides a new perspective for the market stability function of the institutional investors, that is, the behavior and the role of different types of institutional investors in the stock market crash are different.

关 键 词：股市震荡 投资者行为 机构投资者行为 知情交易者 噪音交易者 

分 类 号：F832.5[经济管理—金融学]