论传闻对个人投资者交易决策的影响——基于上市公司传闻情景的实证分析

What Influences the Trading Decisions of Individual Investors——An Empirical Research on the Situation of Rumors about Listed Companies

基于对中国股市个人投资者关于传闻的调查数据,采用logit模型和多项logit模型,分析了上市公司传闻情景下个人投资者交易决策的影响因素,结果发现传闻的重要程度、发送方的交易行为、传闻交流与核实以及相应股价变动显著影响投资者交易的概率,但对选择卖出与买入概率的影响没有明显差异;传闻可信程度只明显影响买入的概率,而受访者关于传闻的态度仅明显影响卖出的概率。这些结论有助于理解个人投资者交易决策过程,改善传闻的治理。

This paper examines the factors influencing the trading decisions of individual investors in Chinese stock market in the situation of rumors spread about listed companies based on a rumor questionnaire by using the logit and multinomial logit models.Results show that their trading probability may be influenced by the importance,transmission and clarification of rumors,by the trading behavior of those who send rumors,and by relatively changing stock prices,but the effects of these factors are not significantly different in buying and selling decisions.The credibility of rumors only affects their buying probability,and their attitude about rumors simply affects their selling probability.The conclusions can help better understand the decision process of individual investors,thus improving rumor governance.