积极型投资者交易动机研究——基于科创板市场流动性溢价视角  

Research of Active Investors'Trading Motivation:——Based on Liquidity Premium of the Sci-Tech Innovation Board

作　　者：徐加根[1] 李琳[2] 何家璇 Xu Jiagen;Li Lin;He Jiaxuan

机构地区：[1]西南财经大学金融学院 [2]四川财经职业学院金融学院 [3]深圳证券交易所博士后工作站

出　　处：《财经科学》2023年第12期42-57,共16页Finance & Economics

基　　金：教育部人文社会科学青年基金项目“中国股市个股崩盘敏感性差异研究——基于投资者结构的视角”(18YJC790123)的资助。

摘　　要：研究积极型投资者的交易动机与交易行为,对于提升中国资本市场活跃度具有重要意义。本文基于科创板市场流动性溢价视角对积极型投资者交易行为展开研究,将投资者交易动机划分为“流动性动机”和“投资动机”,两者的定价机制分别为“流动性补偿溢价”和“投资者意见分歧定价”。研究发现:其一,不设涨跌幅限制的上市前5个交易日的流动性溢价主要由价格因素驱动,其充足的流动性为价格充分反映投资者意见分歧提供了支持,体现了投资动机;其二,盘后定价交易使得盘中流动性需求旺盛的股票交易溢出至盘后,而盘中流动性需求不足的股票交易收敛于盘中,盘后交易量提供了不同于盘中交易量的额外信息,满足了流动性动机。It is of great significance to study the trading motivation and trading behavior of active investors to enhance the activity of China's capital market.This paper studies the trading behavior of active investors based on the Sci-Tech innovation board(STAR Market).It categorizes investors'trading motivation into two aspects:liquidity motivation and investment motivation,which are deter-mined by the pricing mechanisms of liquidity compensation premium and investor disagreement pricing,respectively.The findings of this study can be summarized as follows:Firstly,the liquidity premium observed during the initial five trading days without restric-tions on price fluctuations is mainly driven by price factor.The abundant liquidity present in these periods facilitates a comprehen-sive reflection of divergent investor perspectives and investment motivations within stock prices.Secondly,after-hours pricing trans-actions make stock trading with strong intraday liquidity requirements spill over to after-hours,while stock trading with insufficient intraday liquidity requirements converges to intraday.After-hours trading volume provides additional information that is different from the intraday trading volume,which is to meet the liquidity requirements.

关 键 词：科创板市场 交易动机 涨跌幅限制 盘后定价交易 

分 类 号：F832.5[经济管理—金融学]