中国股市交易者行为研究——基于股票交易者异质性的分析  

Research on Trader Behavior in China's Stock Market——Based on the analysis of stock trader heterogeneity

作　　者：张磊[1] 

机构地区：[1]哈尔滨金融学院

出　　处：《价格理论与实践》2018年第7期87-90,共4页Price:Theory & Practice

摘　　要：股票市场由大量具有不同类型交易策略、行为偏好和风险态度的交易者组成,这些交易者汇集在一起相互作用,从而构成了资产价格运动的微观基础。本文从行为金融学的相关理论出发,对不同类型交易者的交易行为分别进行描述并构建异质交易行为主体下的股票投资组合收益和波动模型。实证研究中以我国上海证券交易所的股票投资组合为对象进行分析,得出以下主要结论:不同于传统的收益-风险相关结论,我国股市投资组合的收益率和波动之间呈现明显的负相关关系,从而说明行为金融学中的波动率反馈效应在我国市场的适用性;反馈型交易者对价格的影响不够显著,而信息驱动型交易者的影响则较为显著。The stock market consists of a large number of traders with different types of trading strategies, behavioral preferences and risk attitudes. These traders come together to form the micro-foundation of the asset price movement. Based on the relevant theories of behavioral finance,this paper describes the trading behaviors of different types of traders and constructs the stock portfolio returns and volatility models under the main body of heterogeneous trading behavior. In the empirical research, the stock portfolio of Shanghai Stock Exchange of China is analyzed, and the following main conclusions are drawn: Different from the traditional income-risk related conclusions, there is a significant negative correlation between the yield and fluctuation of China’s stock market portfolio. The relationship explains the applicability of the volatility feedback effect in behavioral finance in China’s market;the influence of feedback-type traders on prices is not significant,while the influence of information-driven traders is more significant.

关 键 词：交易者 股市波动率反馈 交易者行为 投资组合 投资风险 

分 类 号：F832.51[经济管理—金融学]