中国个人权证投资者处置效应研究

The Dispersion Effect in Chinese Individual Investors' Option Trading

处置效应是指投资者较早卖出盈利而较晚卖出亏损的行为。2005年股改开始后权证被重新引入市场,权证有更大的涨跌幅且能够T+0交易,这为我们研究处置效应提供了独特的样本。通过对某证券公司个人投资者2005—2009年40.8万笔权证T+0交易记录的研究发现:(1)亏损交易的平均持有时间比盈利交易的平均持有时间显著多出13.2%,在控制相关因素后处置效应仍然显著;(2)Cox比例风险回归分析结果显示盈利权证被卖出的可能性是亏损权证被卖出可能性的1.129倍;(3)不考虑交易费用情况下,投资者权证T+0交易略有盈利,但是扣除交易费用后整体亏损。

The option trading had been introduced again in Chinese security market in 2005.On one hand,the option price could increase(or decrease) more than ten percent in one day.On another hand,the investor could buy and sell the option within the same trading day,which could give us a good opportunity to check disposition effect.Using more than 408 thousand trading record form 2005 to 2009,we find that the duration of losing trading is 13.2 percent more than the duration of winning trading on average.Both parametric test and nonparametric test results suggest that the difference in duration is significant at the 1 percent level.Besides this,the Cox's proportional hazard model was introduced.The model's result suggest that the winners' probability of being sold if 12.9 percent more than the losers' probability of being sold.Without the tax and fees,all investors in day-trading got small profit.After controlling the tax and fees,the investors lost money.