| 谁在中国股票市场中“博彩”?——基于个人投资者交易数据的实证研究 |
| 廖理1, 梁昱2, 张伟强1 |
| 1. 清华大学 五道口金融学院, 北京 100083; 2. 清华大学 经济管理学院, 北京 100084 |
| Who gambles in the Chinese stock market?—Evidence from individual investor trading data set |
| LIAO Li1, LIANG Yu2, ZHANG Weiqiang1 |
| 1. PBC School of Finance, Tsinghua University, Beijing 100083, China; 2. School of Economics and Management, Tsinghua University, Beijing 100084, China |
摘要:
| |||
| 摘要在股票市场中, 具有低价格、 高换手率以及高历史极端正收益等特征的股票符合博彩活动的特点, 投机性较强, 被称为博彩型股票。一些投资者更倾向于持有此类股票, 表现出较强的博彩性投资偏好。该文使用个人投资者的股票交易数据, 对投资者的博彩性股票交易行为进行研究, 结果发现: 1) 个人投资者存在明显的博彩性投资偏好, 其投资组合中博彩型股票的比重(14%)显著高于市场平均水平(9%); 2) 从投资者个人特征看, 具有年轻、 男性、 投资经验少、 换手率高以及处于西部地区等特征的个人投资者更偏好博彩型股票; 3) 在牛市期间, 个人投资者的投机性更强。 | |||
| 关键词 ：行为金融学,博彩性投资偏好,个人投资者 | |||
| Abstract：Some stocks in the stock market share the common characteristics of low prices, high turnover rates, and high historical highest daily returns. These all imply strong speculative investments, so these stocks are referred to as lottery-type stocks. Some investors are very speculative and prefer to invest in lottery-type stocks. Analyses of an individual investor trading data set show that: 1) Individual investors significantly over-weight lottery-type stocks in their investment portfolios with 14% lottery-type stocks compared to the average market portfolio of 9%. 2) Young, male, less experienced investors using high turnover rates and investors from western China prefer lottery-type stocks. 3) During bull markets, investors have stronger speculative tendencies. | |||
| Key words：behavioral financegambling preferenceindividual investors | |||
| 收稿日期: 2015-10-13 出版日期: 2016-07-01 | |||
| |||
| 引用本文: |
| 廖理, 梁昱, 张伟强. 谁在中国股票市场中“博彩”?——基于个人投资者交易数据的实证研究[J]. 清华大学学报（自然科学版）, 2016, 56(6): 677-684. LIAO Li, LIANG Yu, ZHANG Weiqiang. Who gambles in the Chinese stock market?—Evidence from individual investor trading data set. Journal of Tsinghua University(Science and Technology), 2016, 56(6): 677-684. |
| 链接本文: |
| http://jst.tsinghuajournals.com/CN/10.16511/j.cnki.qhdxxb.2016.21.037或 http://jst.tsinghuajournals.com/CN/Y2016/V56/I6/677 |
图表:
 |
| 表１ 主要变量的描述性统计 |
 |
| 表２ 各类型股票的市场比例与个人投资者实际配置比例 |
 |
| 表３ 个人投资者对于不同类型股票的偏好 |
 |
| 表４ 不同个人特征的投资者对于博彩型股票的偏好 |
 |
| 表５ 不同年龄层和投资经验分组对于博彩型股票的偏好 |
参考文献:
| [1] French K, Poterba J. Investor diversification and international equity markets [J]. American Economic Review, 1991, 81(2): 222-226. [2] Mitchell J. Clustering and psychological barriers: The importance of numbers [J]. Journal of Futures Markets, 2001, 21(5): 395-428. [3] Daniel K, Titman S. Evidence on the characteristics of cross sectional variation in stock returns [J]. Journal of Finance, 1997, 52(1): 1-33. [4] Barberis N, Huang M. Stocks as Lotteries: The implications of probability weighting for security prices [J]. American Economic Review, 2008, 98(5): 2066-2100. [5] Statman M. Lottery players/stock traders [J]. Financial Analysts Journal, 2002, 58(1): 14-21. [6] Kumar A. Who gambles in the stock market [J]. Journal of Finance, 2009, 64(4): 1889-1933. [7] 上海证券交易所. 上海证券交易所统计年鉴(2014卷) [R]. 上海: 上海证券交易所, 2015.Shanghai Stock Exchange. Shanghai Stock Exchange Statistics Annual (2014) [R]. Shanghai: Shanghai Stock Exchange, 2015.(in Chinese) [8] 孔东民, 代昀昊, 李捷瑜. 知情交易与中国股市博彩溢价[J]. 金融评论, 2010(2): 61-72.Kong Dongmin, DAI Junhao, LI Jieyu. Informed trading and the lottery premium in China's stock markets [J]. Chinese Review of Financial Studies, 2010(2): 61-72. (in Chinese) [9] 郑振龙, 孙清泉. 彩票类股票交易行为分析: 来自中国A股市场的证据[J]. 经济研究, 2013(5): 128-140.ZHENG Zhenlong, SUN Qingquan. Lottery-like stock trading behavior analysis: Evidence from Chinese A-share stock market [J]. Economic Research Journal, 2013(5): 128-140. (in Chinese) [10] 孔高文, 刘莎莎, 孔东民. 博彩偏好是否影响了精明投资者绩效 [J]. 投资研究, 2014(10): 87-103.KONG Gaowen, LIU Shasha, KONG Dongmin. Does gamble affect institutional investors' performances [J]. Review of Investment Studies, 2014(10): 87-103.(in Chinese) [11] Kahneman D, Tversky A. Prospect theory: An analysis of decision under risk [J]. Econometrica, 1979, 47(2): 263-291. [12] Kahneman D, Tversky A. Advances in prospect theory: Cumulative representation of uncertainty [J]. Journal of Risk and Uncertainty, 1992, 5(4): 297-323. [13] Harvey C, Siddique A. Conditional skewness in asset pricing tests [J]. Journal of Finance, 2000, 55(3): 1263-1295. [14] Brennan M, Huh S, Subrahmanyam A. An analysis of the Amihud illiquidity premium [J]. Review of Asset Pricing Studies, 2013, 3(1): 133-176. [15] Barber B, Odean T. Trading is hazardous to your wealth: The common stock investment performance of individual investors [J]. Journal of Finance, 2000, 55(2): 773-806. [16] Gervais S, Odean T. Learing to be overconfident [J]. Review of Financial Studies, 2001, 14(1): 1-27. [17] 李涛, 周开国. 邻里效应、 满意度与博彩参与[J]. 金融研究, 2006(9): 129-147.LI Tao, ZHOU Kaiguo. Neighborhood effect, satisfaction and gambling participation [J]. Journal of Financial Research, 2006(9): 129-147.(in Chinese) |
相关文章:
|
