投资者过度交易行为的一种解释——基于股票交易日资金流数据的研究

An Explanation of Investors’Trading Behavior in Chinese A-Shares Stock Market

本文利用公开的股票资金净流入数据检验了A股市场上投资者过度交易行为,并就过度交易的投资绩效和原因进行了探讨。通过实证发现,对于不同的持有期间,散户和机构投资者买进股票后一段时间内的平均收益低于卖出的股票在相同时间内的平均收益,投资者表现出过度交易行为。实证结果进一步表明散户投资者表现出比机构投资者更严重的投资失误,对于不同流通市值规模和换手率水平,结论均成立。我们认为过度自信是投资者过度交易的重要原因。

In this paper, we examine over -trading behavior in the Chinese stock market by using net cash inflow. For different holding periods, we find that the securities that investors purchased underperformed those they sold. Furthermore, individual investors are more likely to underperform than institutional investors withont taking transaction costs into account in this model. The empirical results further show that individual investors make more investment mistakes than institutional investors. Even though controlling the levels of market capitalization size and turnovers, the conclusion is still prevail. By comparing the individual investors and institutional investors, we find individual investors even earned much less than institutional investors. We believe that the overcorfidence psychology is the most important contribution over -trading behavior.