究竟是“热手效应”还是“赌徒谬误”主导着市场情绪?——来自中国股票市场的证据

Is the Market Sentiment Dominated by Hot Hand or Gambler's Fallacy? Evidence from Chinese Stock Market

本文的研究焦点是中国股票市场中的"热手效应"或"赌徒谬误"认知偏差。通过定义情绪指数和界定系统性的"热手效应"或"赌徒谬误"认知偏差,本文首先基于日的时间尺度、整体投资者的合力情绪及包括不同市场阶段的较长时期对这两种偏差进行统计检验,然后分别从不同的时间尺度(周)、不同的投资者类型(散户、大户和咨询机构)、不同的市场阶段(牛市和熊市)以及游程反转后的市场累积收益等视角对"热手效应"或"赌徒谬误"偏差进行了一系列的稳健性检验。检验结果表明,一般来讲,"热手效应"主导着市场情绪。

This study focuses on two types of cognitive biases： hot hand and gambler＇s fallacy in Chinese stock market. At first, by defining the sentiment index and what systematic hot hand and gambler＇s fallacy are, we conduct statistical tests on hot hand and gambler＇s fallacy with regard to daily data, resultant sentiment of the whole investors and relatively long period including various market stages. And then we conduct a series of robust tests on hot hand and gambler＇s fallacy with regard to weekly data, such three types of investors as retail investors, institutional investors and enquiry agencies, such two market stages as bullish market and bearish market and cumulative market return after the reverse of a run. The results indicate that generally speaking, hot hand dominates the market sentiment.