异质投资者行为与价格形成机制研究

摘要： 本文将中国深圳股票市场参与者分为中小投资者、大投资者、基金和其他机构四类,构建模型检验了异质投资者的行为差异与股价形成过程的机理。研究发现:(1)四类投资者行为存在明显差异,中小投资者是存在心理偏差、采取"追跌卖涨"的反转交易者,基金是采取"追涨杀跌"趋势策略的惯性交易者,大投资者是投资能力相对较强的群体;(2)价格跟随异质投资者之间的交易而变动。中小投资者净买入越多,该股票股价越可能下跌,反之正好相反;(3)中小投资者与大投资者及基金的不同交易行为在股价形成机制中起到关键作用,大投资者及基金推动股价,中小投资者则为之提供流动性。
This paper studies the dynamic behavior of security prices in the presence of heterogeneous investors. We empirically examine the behavior of four different types of investors including small individual,big individual,mutual fund and other institution. We use all four different types of investors’trade data between 2006 and 2010 in Shenzhen Stock Exchange to examine our hypothesis. The empirical evidence shows : ( 1) Heterogeneous investors have different behavior in Chinese Stock Market. ( 2) Trading between heterogeneous investors drives price formation. When small investors buy from other types of investors,the price will drop. On the contrary,the price will rise. ( 3 ) Big individual with information advantage and superior ability buys the undervalue stock from small individual who is liquidity provider with psychological bias,then sells overvalue stock back to them. This process pushes the price up or down. ...

科技文献投资者行为;;异质投资者;;价格形成;;理偏差