我国机构投资者认知偏差的实证研究

An Empirical Study of China Institutional Investor's Cognitive Biases

运用行为金融理论分析和检验我国机构投资者是否存在认知偏差。选取上证综合指数收益率的增量作为反应事件,检验收益率是否会对证券公司在对下一个交易日的指数预测产生影响,从而分析我国机构投资者是否存在启发式偏差。实证表明,我国机构投资者有着显著的启发式偏差。并提出了一种新的验证方法,即用收益率的增量作为自变量,去解释看涨情绪的变化。

This paper applies behavioral finance theory to analyze and test whether or not Chinese investors are prone to cognitive biases. The yields of the indices of Shanghai Stock Exchange are chosen as the subjects for testing whether or not it will influence Chinese investors＂ prediction on next trading day＇s Index. It furthers to analyze whether or not Chinese investors are prone to heuristic bias. The paper concludes that Chinese investors are inclined to remarkable heuristic bias, and it puts forward a kind of new method, namely, to use the increment of yield as the independent variable to explain the change of Bullish Sentiment Index.