私有信息、个人投资者行为与股价异常波动  

Private information,individual investors’behavior and the abnormal stock price fluctuations

作　　者：孔傲 李昊骅[2] 李心丹[2] 朱洪亮[2] KONG Ao;LI Hao-hua;LI Xin-dan;ZHU Hong-liang(School of Finance,Nanjing University of Finance and Economics,Nanjing 210023,China;School of Management and Engineering,Nanjing University,Nanjing 210093,China)

机构地区：[1]南京财经大学金融学院,南京210023 [2]南京大学工程管理学院,南京210093

出　　处：《管理科学学报》2024年第2期120-135,共16页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(72301126,72342024,72371125,72001104);中国博士后科学基金资助项目(2021M701670);江苏省博士后科研资助计划项目(2021K357C)。

摘　　要：股价异常波动危害投资者权益和股市安全,厘清股价异常波动的原因对于股市监管具有重要意义.本文从个股高频数据中提取股价中的私有信息含量,检验私有信息与中国A股市场个股异常波动的关系,并基于独特的账户数据分析个人投资者行为在这一关系中的作用.结果表明,排除市场因素的影响后,无论是否有公司层面的消息发布,私有信息都与股价异常波动的发生概率显著正相关,而个人投资者在这一关系中发挥了中介作用.进一步的研究发现,个人投资者的中介作用在股价暴涨和暴跌时有显著的非对称性:在股价上涨过程中,私有信息促进了个人投资者跟风买入的助涨行为,增大了股价暴涨的概率,而在股价下跌过程中,私有信息抑制了其抄底买入的止跌行为,也增大了股价暴跌的概率.本文的启示是,中国股市个股暴涨常常受到机构投资者和个人投资者的共同推动,而个股暴跌则是伴随机构投资者推跌和个人投资者提供流动性稳定股市的过程.Abnormal stock price fluctuations endanger the interests of investors and the safety of the stock mar⁃ket.Clarifying the reasons for abnormal stock price fluctuations is of great significance to stock market supervi⁃sion.This article extracts the private information content in stock prices from high⁃frequency data of individual stocks,tests the relationship between private information and abnormal fluctuations of individual stocks in Chi⁃na’s A⁃share market,and analyzes the role of individual investor behavior in this relationship based on unique account data.The results show that after excluding the influence of market factors,private information is sig⁃nificantly positively related to the probability of abnormal stock price fluctuations,regardless of whether there is firm⁃level news release.Individual investors play an intermediary role in this relationship.Further research found that the intermediary role of individual investors has significant asymmetry in stock price surges and plummets.During the process of stock price rises,private information stimulate individual investors to follow the trend and buy,increasing the probability of stock price jumps.When the stock price falls,private infor⁃mation inhibits the bottom⁃buying behavior,increasing the probability of the stock price crashes.The insight from this article is that the jumps in individual stocks in China’s stock market is the result of both institutional investors and individual investors,while the crash in individual stocks is the result of institutional investors pushing down and individual investors providing liquidity to stabilize the stock market.

关 键 词：股价异常波动 私有信息 个人投资者行为 反馈交易 

分 类 号：F830.9[经济管理—金融学]