流动性、生命周期与投资组合相异性——中国投资者行为调查实证分析

Liquidity,Life Cycle and Portfolio Choice Heterogeneity

本文采用Probit和Tobit模型对中国居民的股票市场参与和投资组合的影响因素进行了分析,主要有以下的实证发现:首先,不流动性资产特别是房地产的投资显著影响了投资者的股票市场参与和投资组合,而且影响以“替代”效应或者说“挤出”效应为主。其次,投资者在进行投资组合时极少利用股票市场对其未来现金流所承担的风险进行对冲,也就是说,中国居民投资的“生命周期效应”不明显;第三,中国居民投资的“财富效应”非常显著。财富的增加既增加了居民参与股票市场的概率,也增加了居民参与股票市场的深度。

What does the household＇s portfolio composition in China look like and what kinds of factor affect their portfolio choice？ The paper summarized and analyzed the systematic differences in market participation and porffoho composition across individuals with varying characters in China using Probit and Tobit models. Firstly, we found that the investment in illiqttidity assets, especially real estate assets had significant effects on the stock market participation and portfolio composition, where the substitution effect dominates. Secondly, the Chinese households seldom hedge the risk of their future cash flow by taking part in the stock market, that is, the life-cycle effect is trivial. Thirdly, an increase in the wealth would increase the probability of households＇ stock market participation and the proportion of their wealth invested in risky assets. These results provide a new policy perspective for the development of capital market and propeay market, and give a clue on how to reduce the loss of households＇ welfare due to the inefficient portfolio.