交易者异质策略对股票市场投资组合收益的影响研究  

Research on the Impact of Traders’ Heterogeneous Strategies on the Return of Stock Market Investment Portfolios

作　　者：姚震 张一 

机构地区：[1]中央财经大学财经研究院 [2]自然资源部中国地质调查局发展研究中心

出　　处：《价格理论与实践》2020年第12期71-74,共4页Price:Theory & Practice

摘　　要：为了揭示股票投资组合收益的微观机理,本文考虑股票投资者基于不同心理偏好的交易策略,构建交易者异质策略的资产定价模型,进而分析不同类型交易者的交易活动对投资组合收益的影响。本文以我国A股市场为对象进行实证研究,分析不同行业、风险分类级别、市值规模以及不同板块的投资组合受不同投资者行为的影响效应,得出以下结论:我国股市存在明显的市值效应和动量效应;与传统的均值波动理论相悖,我国股市并非表现出收益和风险对等的规律,而是存在非理性行为下的收益风险关系;我国A股市场存在着大量的信息驱动型交易者且其交易活动成为股市波动风险的主要来源。In order to reveal the micro-mechanism of stock portfolio returns, this article considers the trading strategies of stock investors based on different psychological preferences, constructs an asset pricing model of traders’ heterogeneous strategies, and then analyzes the impact of different types of traders’ trading activities on portfolio returns. This article uses China’s A-share market as the object to conduct empirical research to analyze the effects of different industries, risk classification levels,market capitalization scales, and investment portfolios of different sectors on various investor behavior. The conclusion points out that there are obvious market value effects and momentum effects in the Chinese stock market. Contrary to the traditional mean volatility theory, the Chinese stock market does not show the law of equivalence of returns and risks, but has the relationship between return and risk under irrational behavior;There are a large number of information-driven traders in China’s A-share market, and their trading activities have become the main source of stock market volatility risks.

关 键 词：交易者异质策略 股价波动 信息驱动 投资组合 

分 类 号：F832.51[经济管理—金融学]