中国股票市场个体投资者择时选股能力研究

Study on the Market Timing and Stock Selecting of China's Individual Investors

本文采用从某市证券公司随机抽取的2007-2012年期间个体投资者的账户交易数据,通过随机效应模型和偏度自举调整后的t统计量分别对个体投资者的择时入市能力和个股选择能力进行研究。结果发现,中国的个体投资者不具有对股市大盘的发展趋势进行预测的能力;亏损个体投资者不具有个股选择能力,但在样本期间取得累计无风险盈利的投资者则具有选择强势股介入的能力,而在牛市中盈利者的选股能力优势更强。

Using the account level data randomly selected from some security companies in the year of 2007-2012,this paper applies a random effects model and uses a Bootstrapped Skewness-adjusted t-statistic to study the market timing and the stock selecting skills of China＇s individual investors. The empirical results show that, the individual investors have no obvious market-timing abilities; the winners show strong stock-selecting abilities especially in the bull market, while the losers have no such ability.