投资者订单不平衡与股票收益:基于中国股票市场的证据

Order Imbalance and Stock Returns: Evidence from the Chinese Stock Market

本文利用上海证券交易所提供的股票账户交易数据,研究了不同类型投资者订单不平衡与股票收益间的关系。研究发现,机构投资者(一般和专业)订单不平衡与当日股票收益呈正向相关关系,整体看,个人投资者订单不平衡与当日股票收益呈负向相关关系,随着个人投资者持有资产规模的增加,这种负向相关关系逐渐减弱。本研究发现,投资者订单不平衡对未来股票收益有较弱的预测作用。当新闻作为公开信息指标出现时,对不同类型投资者订单不平衡的改变各不相同,且会加强投资者订单不平衡与股票收益间关系。机构投资者有能力区分新闻的性质,从而正确地改变交易方向,增加交易获利的可能性,而个人投资者没有这个能力。

In this paper, we use the special aggregated account data from the Shanghai Stock Exchange to study the relationship between order imbalance and stock returns of different investors. Our data sample is from 20130801 to 20140731 and includes 200 stocks in the Shanghai stock market A-shares. Using special data of 12 categories investors, we get the order imbalance of different investors and have the opportunity to study the special relationship between these investors’ trading imbalance and the stock returns. As we have found, the summary statistics of these investors trading behavior is similar to the whole market, therefore, our study can be a good sample to reflect the market’ performance. Different investors’ order imbalance is differently related to the stock returns: the relationship between order imbalance from institutional investors(including the ordinary institutional investors and professional institutional investors) and stock returns is positive, and the relationship between order imbalance from individual investors and stock returns is negative. What’s more, we also find the negative relationship between individual investors’ order imbalance and stock returns is decreased even with the increase of their’ capital size. Different to the previous studies of the predictability of the order imbalance for future stock returns from other stock markets, in this paper, we find little evidence about the forecasting ability of order imbalance in the Chinese stock market. In addition, we use the news data as the proxy of public information to study the influence of information on the relationship between order imbalance and stock returns. We find new public information has the positive influence: the release of news will strengthen the relationship between different investors’ order imbalance and current stock returns. Different investors react differently to the public information: institutional investors can distinguish the negative news and positive news, and change their trading in the right direction but individual investors don’t have this ability.