杠杆交易动机与行为后果研究——基于中国A股市场个人投资者的实证

A Study on the Motivation and Behavioral Consequences of Leverage Trading——Based on Empirical Evidence of Individual Investors from China’s A-Share Market

中国A股市场的杠杆交易大致分为三个阶段:第一阶段为2010年以前的无杠杆交易阶段,第二阶段为2010年到2015年的杠杆交易阶段,第三阶段为2015年至今的去杠杆交易阶段。文章主要使用博弈论的方法研究个人投资者在杠杆交易中的动机与行为,构建一种线性回归的博弈模型,分析在不同的经济环境、交易制度、信息来源、交易对手以及其他影响因素下,个人投资者的心理变化可能导致的杠杆交易动机变化,以及导致的各种行为后果。由此识别出个人投资者在不同情境下的交易动机和行为,以期为监管层制定交易制度、机构投资者制定交易策略、个人投资者进行杠杆交易行为等提供有效的参考建议,进而解决A股市场稳定发展的问题。

Leverage trading in China’s A-share market is roughly divided into three stages in 2010 to 2015.The first stage is the unlevered trading stage before 2010,the second stage is the leverage trading stage from 2010 to 2015,the third stage is the deleveraging trading stage from 2015 to now.The method of game theory is mainly used to study the motivation and behavior of individual investors in leveraged trading,constructed a linear regression game model,to analyze the possible changes in the motivation of leveraged trading caused by the psychological changes of individual investors in different economic environments,trading systems,information sources,counterparties and other influencing factors,as well as the resulting changes with various behaviors.In order to solve the problem of stable development of A-share market,the trading motivation and behavior of individual investors are identified in different situations,in order to provide effective reference suggestions for making trading system and short-term trading strategy for institutional investors,guiding individual investors to leverage trading behavior,and etc.