摘要
利用个体融资融券者的账户信息和交易信息，本文对我国A股市场中融资融券者的开仓策略、交易绩效与投资者特征的关联进行了经验分析。我们研究结果表明：①融资融券投资者没有取得显著的正的净收益，尽管融资投资者的收益高于融券投资者的收益；②融资投资者的特征显著影响其投资收益，而融券投资者的特征并不影响其投资收益，男性融资投资者的收益明显低于女性投资者，发达城市的融资投资者的收益优于欠发达城市投资者；年龄和股龄的增长有助于改善融资投资者的收益表现；③市场走势会严重影响融资融券投资者的收益表现，当市场处于牛市时，融资投资者的收益会明显增加，而融券投资者的收益表现则明显恶化；④在每笔往返交易过程中，持股时间的增加会显著降低融资融券者的收益表现；⑤融资投资者倾向于采用反向交易策略进行开仓且能够较好地预测股票的未来走势，而融券投资者并没有显示出倾向性的反转交易策略或动量交易策略。
Based on the Chinese individuaI financing traders＇ account information and transaction information, we examine the association of the opening strategy, transaction performance and investor characteristics of the margin trading in China＇s A share market by the empirical analysis. Our findings suggest that： （1） margin investors do not have a significant net return, atthough it is higher than the short investors＇ return; （2） the characteristics of the financing investors significantly affect the investment earnings, the characteristics of the short investors don＇t affect their investment earnings, the earnings of male financing investors were significantly lower than that of female investors, the earnings of financing investors in the developed cities are better than that of the less developed city investors, the growth of age and stock age is helpful to improve the performance of financial investors; （3） the market trend will seriously affect the performance of margin investors, when the market is in a bull market, the earning of the financing will increase significantly, while the earning performance of short investors is markedly worse; （4）in each round trip, the increase in holding time will significantly reduce the performance of margin trading; （5） financial investors tend to adopt reverse trading strategies and be able to predict the future trend of the stock better, while the short investors did not show a tendency of reverse trading strategy or momentum trading strategy.
出处
《金融学季刊》
CSSCI
2017年第3期55-76,共22页
Quarterly Journal of Finance
基金
辽宁省社会科学规划基金项目(L15CJY005)的资助
关键词
融资融券交易
投资者特征
交易行为
投资收益
Margin Trading Investor Characteristics Trading Behavior Investment Performance
