中国融资投资者是否更为过度交易  

Research on overtrading of Chinese margin-trading investors

作　　者：廖理 张云亭 张伟强 LIAO Li;ZHANG Yunting;ZHANG Weiqiang(PBC School of Finance, Tsinghua University, Beijing 100083, China)

机构地区：[1]清华大学五道口金融学院

出　　处：《系统工程理论与实践》2018年第4期836-847,共12页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71232003,71573147);中国博士后科学基金(2016T90073)~~

摘　　要：融资交易既是一种买空机制，也暗含了杠杆效应．自从引入“两融”交易制度以来，融资交易给我国股票市场带来的不仅仅是多了一种交易手段，买空机制和杠杆效应对个人投资者的心理和行为也产生了深刻影响，并进而影响到整个股票市场．此前的研究表明，我国股票市场个人投资者存在明显的过度交易；我们所关注的问题则是，融资投资者与普通投资者在过度交易行为上是否存在显著差异．本文使用国内某大型证券公司个人投资者的订单数据，对融资投资者的过度交易行为进行了实证研究．结果表明：1）与普通投资者相比，融资投资者的交易更为频繁，过度交易程度更为突出；2）与普通投资者相比，融资投资者的投资绩效受过度交易的损害程度更大．Margin-trading is one kind of short purchase mechanism which implies leverage buying. Since the launch of margin-trading and short-selling in Chinese security market, the special trading mechanism and the characteristics of Chinese stock market together have produced profound and complicated influence on investor behavior. In essence, margin-trading is a kind of leverage trading. It is not only a means of trading method, its business characteristics and trading mechanism has a profound impact on investor psychology, and thus affect the stock market. Previous study proves that individual investors in China market have shown obviously overtrading. Do margin-trading investors have significant differences in overtrading with ordinary individual investors？ Using account data and trading history of all investors from a large security company in China, this paper makes an empirical study on the overtrading behavior of margin-trading investors. We document that compared with ordinary investors, 1） investors who trading in credit account trade more frequently, showing more prominent overtrading; 2） and thereby reduce their returns more so than do ordinary investors.

关 键 词：行为金融学 投资者行为 过度交易 融资融券 

分 类 号：F830.91[经济管理—金融学]