投资者交易行为与ETF价格波动  

Investor trading behavior and price volatility of exchange-traded funds

作　　者：迟骏 杨春鹏[1] Chi Jun;Yang Chunpeng

机构地区：[1]华南理工大学经济与贸易学院 [2]贵州民族大学商学院

出　　处：《投资研究》2019年第3期133-143,共11页Review of Investment Studies

基　　金：国家自然科学基金项目“基于随机投资者情绪、投资者行为与消费的动态资产定价研究”(71471067)

摘　　要：本文选取我国2011-2017年股票型ETFs数据为样本。根据逐笔交易数据构造表征投资者交易行为的买卖非均衡指标,实证研究买卖非均衡对ETFs价格波动的影响。研究结果显示,买卖非均衡对价格波动的影响具有V型特征。进一步地,文中还检验了买卖非均衡及投资者情绪对价格波动的联合影响,两因子的作用结果具有同方向性。此外,我们将投资者交易行为分解为可预期部分及未预期部分,分解后的买卖非均衡指标仍对ETF价格波动产生V型影响。This paper uses daily equity ETFs data between 2011 and 2017 in China. We construct buy-sell imbalance indicator which represents the investor trading behavior according to ETF transaction data. Then, we empirically study the impact of buy-sell imbalance on ETFs' price volatility. The empirical results reveal that the effect of buy-sell imbalance on volatility is V-shape. Furthermore, the paper also examines the joint effects of buy-sell imbalance and investor sentiment on price volatility, and the two factors have the same directional effects. In addition, we decompose investor trading behavior into expected and unexpected components, and the decomposed buy-sell imbalance indicators still have V-shaped impacts on ETFs price volatility.

关 键 词：投资者交易行为 买卖非均衡 ETF价格波动 

分 类 号：G10[文化科学] G12