市场分割下的股价微观行为及其行为金融学解释

Micro-Behaviors Differences under Market Segmentation and Behavioral Financial Explanations

以交易量、股价波动率和收益率的自相关性作为流动性、波动性和价格有效性等微观行为指标,实证分析了中国A股和B股市场在微观行为上的差异.结果发现,三个指标在两个市场之间存在显著差异.在B股向境内居民开放前,A股的三个指标都要显著大于B股.而B股开放之后,B股的这些指标都大于开放之前.最后运用行为金融理论中投资者结构对微观行为的影响进行了分析和解释.

The paper compares A shares and B shares on the liquidity, volatility and price efficiency, which are proxied by trading volume, return volatility and 1 st autocorrelation coefficient separatively. The results show that the three measures of A shares are higher than those of B shares before B shares＇ opening to domestic investors. After the opening, the three measures of B shares increase. These phenomena can be explained by the differences of investor structures between two markets.