異質(zhì)投資者行為與價(jià)格形成機(jī)制研究

摘要： 本文將中國(guó)深圳股票市場(chǎng)參與者分為中小投資者、大投資者、基金和其他機(jī)構(gòu)四類,構(gòu)建模型檢驗(yàn)了異質(zhì)投資者的行為差異與股價(jià)形成過程的機(jī)理。研究發(fā)現(xiàn):(1)四類投資者行為存在明顯差異,中小投資者是存在心理偏差、采取"追跌賣漲"的反轉(zhuǎn)交易者,基金是采取"追漲殺跌"趨勢(shì)策略的慣性交易者,大投資者是投資能力相對(duì)較強(qiáng)的群體;(2)價(jià)格跟隨異質(zhì)投資者之間的交易而變動(dòng)。中小投資者凈買入越多,該股票股價(jià)越可能下跌,反之正好相反;(3)中小投資者與大投資者及基金的不同交易行為在股價(jià)形成機(jī)制中起到關(guān)鍵作用,大投資者及基金推動(dòng)股價(jià),中小投資者則為之提供流動(dòng)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.