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中国融资投资者是否更为过度交易 被引量:8

Research on overtrading of Chinese margin-trading investors
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摘要 融资交易既是一种买空机制,也暗含了杠杆效应.自从引入“两融”交易制度以来,融资交易给我国股票市场带来的不仅仅是多了一种交易手段,买空机制和杠杆效应对个人投资者的心理和行为也产生了深刻影响,并进而影响到整个股票市场.此前的研究表明,我国股票市场个人投资者存在明显的过度交易;我们所关注的问题则是,融资投资者与普通投资者在过度交易行为上是否存在显著差异.本文使用国内某大型证券公司个人投资者的订单数据,对融资投资者的过度交易行为进行了实证研究.结果表明:1)与普通投资者相比,融资投资者的交易更为频繁,过度交易程度更为突出;2)与普通投资者相比,融资投资者的投资绩效受过度交易的损害程度更大. Margin-trading is one kind of short purchase mechanism which implies leverage buying. Since the launch of margin-trading and short-selling in Chinese security market, the special trading mechanism and the characteristics of Chinese stock market together have produced profound and complicated influence on investor behavior. In essence, margin-trading is a kind of leverage trading. It is not only a means of trading method, its business characteristics and trading mechanism has a profound impact on investor psychology, and thus affect the stock market. Previous study proves that individual investors in China market have shown obviously overtrading. Do margin-trading investors have significant differences in overtrading with ordinary individual investors? Using account data and trading history of all investors from a large security company in China, this paper makes an empirical study on the overtrading behavior of margin-trading investors. We document that compared with ordinary investors, 1) investors who trading in credit account trade more frequently, showing more prominent overtrading; 2) and thereby reduce their returns more so than do ordinary investors.
作者 廖理 张云亭 张伟强 LIAO Li;ZHANG Yunting;ZHANG Weiqiang(PBC School of Finance, Tsinghua University, Beijing 100083, China)
出处 《系统工程理论与实践》 EI CSSCI CSCD 北大核心 2018年第4期836-847,共12页 Systems Engineering-Theory & Practice
基金 国家自然科学基金(71232003,71573147) 中国博士后科学基金(2016T90073)~~
关键词 行为金融学 投资者行为 过度交易 融资融券 behavioral finance investor behavior over trading margin-trading
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