摘要
中国股票市场作为一个典型的不成熟新兴市场,在建立背景、运作方式和发展历程等方面与国外成熟股票市场相比存在很大差别,其产生的“金融异常现象”更加突出和显著,主要表现为与中国经济发展相背离的暴涨暴跌现象和高换手率现象。股票市场的风险来源于高额交易量的发生,而根据有效市场假说,在一个投资者都是理性的市场中高额交易量是不存在的。因此,本文试图从行为金融学角度考察中国股票市场风险和高换手率现象的原因。
本文在前人相关研究成果的基础上,首先对中国股票市场的投资者行为特征进行了系统的分析和概括;其次在假设投资者存在过度自信心理偏好且是市场价格接受者的条件下,建立数学模型、从理论上研究投资者过度自信心理偏好对中国股票市场风险的影响机理;最后,以中国股票市场1996年1月至2008年6月期间的相关数据为样本,以换手率和错误估值度为投资者过度自信度量指标,利用恰当的计量经济学模型对投资者过度自信心理偏好与中国股票市场收益率和风险之间的关系进行实证研究。理论和实证研究结果表明:投资者过度自信心理偏好与股票市场风险之间存在正相关关系,且在不同市场表现阶段,投资者的过度自信水平不一样,影响股票市场的风险成因也存在差异。论文研究结果能够在一定程度上解释中国股票市场的暴涨暴跌和高换手率现象,是对传统股票市场风险理论的深化和发展。
具体地,本文主要基于以下四个方面进行理论和实证的分析:
1、首先采用描述性统计方法对中国股票市场的投资者行为特征进行分析。主要包括对中国股票市场投资者的年龄、性别、教育水平、职业、区域分布;以及股票市场每年投资者的新开户数量、持股市值比例、持股期限、决策信息来源、股票投资资金来源、盈利状况等进行分析。结果初步表明,中国股票市场的投资者具有过度自信心理偏好和非理性行为特征,且投资者交易行为受市场表现的影响可能要大于个股帐面价值的影响。
2、在前人相关研究成果的基础上,在假设投资者存在过度自信心理偏好且是市场上的价格接受者的条件下,建立数学模型、从理论上研究投资者过度自信心理偏好对中国股票市场风险的影响机理。结果表明投资者过度自信心理偏好与股票市场风险之间存在正相关关系。
3、以所有在上海证券交易所上市的A股为研究对象,以中国股票市场1996年1月至2008年6月期间的相关数据为样本,用换手率度量投资者的交易行为,用市场收益率度量市场表现,并根据市场表现划分样本区间,在每个子样本区间考察投资者换手率和市场收益之间的关系。结果表明,市场收益是换手率的一个显著影响因素,且在不同的市场表现阶段,影响换手率的市场收益是不同阶的。
4、以所有在上海证券交易所上市的A股为研究对象,以中国股票市场1996年1月至2008年6月期间的相关数据为样本,以换手率和错误估值度为投资者过度自信度量指标,在按市场表现对样本区间进行合理划分的基础上,利用恰当的计量经济模型,针对每个阶段分别研究投资者过度自信水平和股票市场风险之间的关系。结果表明:投资者过度自信与股票市场风险之间存在着显著的正向关系,但是在不同的市场表现阶段,过度自信对股票市场风险的影响程度存在差异。
Chinese stock market, as a typical immature and emerging market, compared with mature foreign stock market there is still a big gap on building background, operation way, development history and so on, so‘financial abnormal phenomenon’are more prominent and significant, mainly perform on boom-bust and high turnover phenomenon in stock market away from Chinese economic development. The risk of the stock market comes from high transaction volume, and according to the efficient market hypothesis, high transaction volume is non-existent in a market where investors are rational. Therefore, this article intended to explore the reasons causing the risks and high turnover of Chinese stock market based on behavior finance perspective.
Based on the previous related research findings, first of all, this article makes a systematic analysis and conclusion on the behavior features of investors in Chinese stock market. Then under the hypotheses condition on investors have overconfidence psychological preferences and are price-takers of market, we build a mathematical model and explore the affect mechanism how investor overconfidence influences the risk of Chinese stock market in theory. At last, taking the relevant data from January 1996 to June 2008 for the samples in Chinese stock market, adopting turnover and misevaluation index to measure investor overconfidence level, we use the appropriate econometric model to explore the relationship between investor overconfidence psychological preferences and returns or risks in Chinese stock market by empirical research. Theoretical and empirical research results show that: there is a positive relationship between investor overconfidence psychological preferences and the risk of China’s stock market, and in different stages of market performance, investor overconfidence levels are not the same, and the factors affected stock market risks are also different. The study results in this paper can explain boom-bust phenomenon and high turnover phenomenon of Chinese stock market to some extent, deepening and developing the traditional theory on stock market risks.
Concretely, this article makes theoretical and empirical analysis mainly based on the following four aspects:
1. First of all, using descriptive statistics method to analyze investor behavior characteristics in Chinese stock market. Mainly including age, sex, educational level, career and regional distribution of investors in china's stock market, and the number of new accounts of the investors each year in the stock mark, ownership ratio of market value, holding stock period, the information sources making decision, sources of equity investment funds, and earnings, etc. Preliminary results indicate that investors in Chinese stock market have overconfident psychological preferences and non-rational behavior characteristics, and investor performance for transaction subjecting to market impact may be greater than the book value of the individuals.
2. On the basis of previous research results, under the hypotheses condition that the investors are overconfident and price-takers, this paper studies the effect mechanism of investor overconfident psychological preference on the risk of Chinese stock market by setting up an appropriate mathematical model theoretically. The result shows that there is a positive correlation between investor overconfidence psychological preferences and the risk of stock market.
3. Taking all the A shares listed on the Shanghai Stock Exchange as the research object, and relevant data in Chinese stock market from January 1996 to June 2008 period for the sample, using turnover to measure investor behavior, market return to measure market performance, according to market performance we divide the sample interval and then explore the relationship between turnover and market return in each sub-sample. The result shows that market return is a significant influencing factor on turnover. And in different market performance phases, market return affecting the turnover is in different bands.
4. Taking all the A shares listed on the Shanghai Stock Exchange as the research object, and relevant data in stock market from January 1996 to June 2008 period for the sample. We adopt the turnover and misevaluation index to measure investor overconfidence level, and then make use of appropriate econometrics models to study the relationship between the investors’overconfidence and risk of Chinese stock market in each market performance phase based on reasonable division of sample interval. The research result shows that there is a significant positive relationship between investor overconfidence and risk of Chinese stock market. And in different market performance phases the influence degree investor overconfidence on the risk of the stock market are different.
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