股民过度交易了么?——基于中国某证券营业厅数据的研究

Do Investors Trade too Much? Evidence From China's Stock Markets

本文利用中国某证券营业厅个人股票交易数据,验证了中国股票市场上存在的过度交易现象。文章发现,对应着不同的股票持有期,投资者买进的股票在买进后一定时间内的收益率,低于他们出售的股票在售出后相同时间长度内的收益率。这一结论在股票市场整体走势截然不同的两个阶段,对于不同投资规模、不同交易频率投资者都是成立的。而且,在剔除正常交易需求后上述结论依然成立。这说明股民大量的交易决策是错误的,对于理性投资者来讲这些交易原本不该发生。从这个意义上讲,可以认为中国股民存在着过度交易倾向。通过对不同性别投资者投资行为的比较,我们发现男性投资者过度交易的程度要高于女性投资者。结合心理学领域的研究成果,这在某种程度上意味着中国股市投资者过度交易现象与过度自信是相关的。

This paper investigates whether individual traders are overconfident and hence trade excessively in China＇ s stock markets. Corresponding to different periods, we find that the securities investors purchase underperform those they sell. By comparing investors with different fund scale and different trading-frequency, we find that the basic results are not changed. In the mean while, we partition the investors on gender. By comparing the trading behavior between male and female investors, we find that men trade more excessively than women. Since psychological research demonstrates that, in areas such as finance, men are more overconfident than women, the result means, to ~me extent, excessive-trading in China＇s stock markets is correlated with investors＇ overeonfidence.