筹码分布对A股下月突破筹码密集区概率的影响

本文采用Fama-MecBeth回归模型分析了获利(套牢)密集区筹码分与A股未来收益率之间的关系,实证检验了检验了获利(套牢)密集区筹码分布对股票未来收益率的预测能力。同时,本文也采用前景理论和处置效应,从行为金融学角度尝试解释了获利(套牢)密集区筹码分布之所以对股票未来收益率有预测能力的原因。研究表明,由于人们获利所获的快感远远小于亏损所获得的痛苦,所以往往在亏损的时候更倾向于继续持有股票,而获利的时候更倾向于卖出股票,因此在A股市场,一个股票未来不容易上涨到套牢筹码密集区。而股票未来也不容易下跌到套牢获利密集区。我们得到的结论是,股票下个月上涨突破套牢筹码密集区的概率与亏损筹码密集区筹码百分比负相关,股票下个月下跌突破获利筹码密集区的概率与亏损筹码密集区筹码百分比负相关。

This article uses Fama-MecBeth regression model to analyse the relationship between the forward return of Chinese stock market and the distribution of chips.I also test empirically the power of the distribution of chips to predict the the future return rate of Chinese stock market.At the same time,I try to use prospect theory and disposal effect to explain the reason in a view of behavioral finance.Research shows that,investors tend to hold losers and sell winners because the happiness of winning is much less than the pain of losing.As a result,in Chinese stock market,stocks are difficult to close the locked chips densely populated areas and the profit chips densely populated areas.In conclusion,the probability that stocks rise breakthrough over chip concentration areas next month is negatively related to the percentage of losing chips.The prbability that stocks drop breakthrough below chip concentration areas next month is negatively related to the percentage of winning chips.