从“管中窥豹”到“高屋建瓴”:大数据背景下的个人投资者行为  

From“A Peek”to“A Strategic View”:Individual Investor Behaviors in the Age of Big Data

作　　者：严雨萌 熊熊[1,2] 路磊 张维 张永杰[1,2] YAN Yu-meng;XIONG Xiong;LU Lei;ZHANG Wei;ZHANG Yong-jie(College of Management and Economics,Tianjin University,Tianjin 300072,China;China Center for Social Computing and Analytics,Tianjin 300072,China;Asper School of Business,University of Manitoba,Winnipeg R3T5V4,Canada)

机构地区：[1]天津大学管理与经济学部,天津300072 [2]中国社会计算研究中心,天津300072 [3]曼尼托巴大学阿斯博商学院,加拿大温尼伯R3T5V4

出　　处：《中国管理科学》2023年第9期244-254,共11页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71790594,71532009)。

摘　　要：现代金融理论是建立在资本资产定价模型(CAPM)和有效市场假说(EMH)两大理论基石之上的。然而,随着研究的深入,众多金融异象的出现动摇了理性人假说。Kahneman和Tversky率先提出了前景理论,开创了行为金融学的先河。随着大数据的发展,金融学者将更多维度的数据应用到投资者行为的研究中去。本文从投资者异质性、处置效应、地域偏好、行业偏好、博彩偏好、投资者社会互动、过度自信、羊群效应,以及投资者行为的决定因素共9个角度,本文总结了2010~2021年大数据背景下的投资者行为研究文献,并结合当前的技术和金融市场的发展,提出了未来的研究方向。Modern financial theory is based on the two theoretical cornerstones of the Capital Asset Pricing Model(CAPM)and the Efficient Market Hypothesis(EMH).However,with the deepening of research,the Hypothesis of Rational Man have been shaken by numerous financial anomalies.Kahneman and Tversky took the lead in proposing the prospect theory and pioneered behavioral finance.With the development of big data,more dimensional data are applied to the study of investor behaviors.In this paper,research literature on investor behaviors in the context of big data is summarized from nine perspectives:investor heterogeneity,disposal effect,local bias,industry bias,gambling preference,social interaction,overconfidence,herd behavior and determinants of investor behaviors.Furthermore,current technology and financial market development are combined to propose future research directions.However,there are some differences between China's stock market and those of the developed coun-tries in Europe and America.Compared with developed countries,investors in China's stock market show the following two characteristics:first,in China's stock market,the trading volume of individual inves-tors still accounts for more than 80%of the trading volume in the whole market,while in the stock mar-kets of developed countries,institutional investors have taken a dominant position in the market,and 70%to 80%of the trading volume in the market is contributed by institutional investors.Second,compared.with developed countries,the financial literacy and investment professionalism of individual investors in China's stock market are relatively weak.Research shows that individual investors in the developed coun-tries have shown a certain degree of stock-picking ability;in China's stock market,individual investors with more funds have shown similar stock-picking ability to individual investors in the developed coun-tries,however,individual investors with less funds have not shown stock-picking ability in most cases.Therefore,to conduct in-depth research on the

关 键 词：大数据 投资者行为 研究展望 

分 类 号：F830.9[经济管理—金融学]