证券交易中处置效应的实验研究

The Disposition Effect in Securities Exchanging:A Behavioral Study

该项研究通过控制五只股票、每只股票有18期价格波动的实验来研究中国投资者的投资行为特征。结果发现,被试并没有表现出Bayesian最优行为,处置效应却很明显;被试之间在性别、专业、受教育程度与入市时间上的差异不构成处置效应程度上的差异,但入市资金量在5%的水平上对处置效应程度有显著作用。尽管实验中还发现均值反转信念发生作用的证据,但相对于处置效应而言,解释力度要弱。

The authors manipulated five stocks＇ price during eighteen periods to explore investors＇ behavioral pattern in Chinese stock markets. Contrary to Bayesian optimization, the results showed that the subjects exhibited a disposition effect. But variables of sex, major, education level and duration of participation in stock exchange did not affect the disposition effect. The more the fund was put into the stock market, the stronger the tendency of disposition was showed. In addition, belief in mean-reversion could also explain partially the behavior of holding losers too long and selling gainers too early, but its contribution will be much smaller than that of the deposition effect.