资金优势账户可以利用投资者注意力获利吗?--基于“龙虎榜”上榜股票的券商营业部账户成交数据  

Could Fund-dominant Accounts Take Advantage of Investors’ Attention? Based on Individual Investors’ Account-level Trading Data of the “Dragon-Tiger” Listed Stocks from a Security Company

作　　者：刘莉亚[1] 金正轩 陈瑞华 Liu Liya;Jin Zhengxuan;Chen Ruihua(School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China)

机构地区：[1]上海财经大学金融学院,上海200433

出　　处：《财经研究》2020年第6期94-109,共16页Journal of Finance and Economics

基　　金：国家社会科学基金重大项目(20ZDA035);国家自然科学基金面上项目(71573167)。

摘　　要：股票登上"龙虎榜"的事件能够吸引投资者的注意力,导致股价产生短期动量效应,而这一现象的背后可能存在具有资金优势的个人投资者账户利用投资者有限注意力的炒作行为。文章从理论上分析了资金优势账户借助注意力事件来炒作股票获利背后的机制和交易模式的特征,并利用国内某一券商营业部个人投资者资金账户的成交数据,以2015年1月至2019年7月中国A股市场的"龙虎榜"上榜事件为研究对象进行了实证检验,研究发现:第一,股市中确实存在资金优势账户炒作股票并在次日抛售的"一日游"行为,而当股票登上"龙虎榜"时,资金优势账户的炒作主导程度越高,其炒作意图与次日抛售决策之间的正向关系就越强;第二,"龙虎榜"关于上榜股票活跃交易席位的信息披露机制能够捕捉到炒作股票且具有极强"一日游"倾向的账户。文章拓展了投资者注意力与交易所披露信息含量的相关研究,并为监管层和交易所完善股票市场治理体系提供了启示。Investors’ attention is limited. When investors have limited access to information resources,those events that attract investors’ limited attention in the stock market could usually affect their investment decisions. Some literature argues that,to some extent,if a stock is listed on today’s "Dragon-Tiger" Board,the listing event could create a short-term momentum in its price. Since this pattern can be noticed by anybody,the individual investor who possesses fund dominance could create this same kind of listing event artificially and manipulate other investors’ attention. To clearly test and examine this motivation,this paper firstly explains the theoretical mechanism of how fund-dominant accounts profit from pumping up the stock price and selling it in the next day by taking advantage of investors’ attention. And then,this paper chooses China’s A-share stocks which are listed on the "Dragon-Tiger" Board only because its price movement deviation hits 7% on that day as the sample,and the time span is from January 2015 to July 2019. Thanks to the availability of account-level data from a China security company,a name list of suspicious speculative fund-dominant accounts is found. Through the empirical test of the relationship between the speculation of these fund-dominant accounts and the selling decision of the next day,this paper finds that:First,there indeed exist speculation and price manipulation activities driven by fund-dominant accounts which can be concluded as a "one-day trip"trading pattern. Second,when the stock is listed on the "Dragon-Tiger" Board,the higher dominance a funddominant account speculates,the stronger the positive relationship between the speculation intention and the next day’s selling decision is. Third,the information disclosure mechanism of the "Dragon-Tiger" Board can capture the accounts that hype stocks and have a strong tendency of "one-day tour". From the perspective of the causes behind the attention events in China’s stock market,this paper studies the speculati

关 键 词：注意力 股票炒作 投资者行为 

分 类 号：F832.5[经济管理—金融学]