中国股票市场投资者交易偏好及其对股价波动的影响

Trading Preference of Chinese Investors and Its Impact on Stock Volatility

本文利用2005～2008年深圳A股市场的数据,对各类投资者的交易偏好及其差异、交易偏好与股价波动的关系进行了实证研究。结果表明:(1)机构投资者比个人投资者更偏向于交易大盘股、高价股、低市盈率股和非ST股。各类个人和机构之间的交易偏好存在显著的差异,其中月末平均持股市值在100万元以下的个人投资者对小盘股、低价股、高市盈率股、ST股的偏好程度比其他个人投资者高;(2)无论是按规模、价格、市盈率、是否ST股对股票进行分类后利用Panel固定效应模型,还是应用一般回归模型进行分析,结果都表明,个人交易偏好程度高的股票的波动大于偏好程度低的股票,而机构投资者则相反;在大部分同类型股票中,个人和机构交易量的增加均会强化股价波动,但机构投资者交易量变化对收益波动的影响系数远大于个人。个人投资者的交易偏好及其对波动的影响显示其面临的风险可能较大,加强投资者教育、培养专业化理财队伍并鼓励个人通过专业机构进行投资显得尤为重要。

This paper compares the trading preferences of Chinese investors by using a data set from Shenzhen A-share market from year 2005 to 2008. We document that (1) the difference of preferences between institutional investors and individual investors is significant; (2) institutional investors tend to trade large-cap, high-priced, low-p/e and non-ST stocks; (3)price volatility of stocks more preferred by individual investors is higher than those preferred by institutional investors and for the same kind of stocks, the price volatility is more easily affected by the trading volume of institutional investors. Our findings suggest that it is necessary to strengthen investor education and encourage individual investors to invest through professional institutions.