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Trading Behavior Of Stock Investors In China Empirical Research

Posted on:2005-10-17Degree:DoctorType:Dissertation
Country:ChinaCandidate:W G MoFull Text:PDF
GTID:1116360125967602Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
The Modern Financial Theory (MFT) represented by the Efficient MarketHypothesis supposes there is a ideal market and complete rational investor beforeit studies how the investor action in the security market,which follows a way fromsubjectiveness to practice. Lots of empirical studies show that the actual processesand results of investors'decision-making are very different from that described byMFT's optimal investment decision-making model because of judgement anddecision biases arising from investors'psychological biases and informationasymmetry , investors'bounded rationality below the MFT's requirement.Behavioural Financial Theory (BFT ) has broken through the limits of MFT,which studies "how the investors actually make their decision "according to thestudy achievements of decisional psychology and can find out investors'decision-making behavior rule and rationality degree accurately in actualinvestment . Under the guidance of BFT, this paper takes stock investors'trade behaviourin China as study object, and aims at finding investors'behavior rule andrationality degree characteristics by the empirical studies on stock investors'tradedata in the secondary market. In the study, the paper divides the investors intothree types: Small Size Invesror (SSI), Medium Size Invesror (MSI), Large SizeInvesror (LSI). From aspects of investors'psychological biases and interactionbetween investors under information asymmetry, the disposition effect ,overtrade behavior ,investment strategy of three types of investors and the stockhistorical return's influence on the buy, sale, hold behaviour of invesrors arestudied , the differences of behavior characteristics and investment strategiesbetween investors are compared. At the same time, the differences of each typeinvestor's behavior trends and investment strategies between bull market and bearmarket are analyzed .So that the behavior characteristics of stock investors inChina can be revealed from both horizontal and vertical angle, interactionmechanism for each type investors in the trade process and the internalrelationship between investors'behavior and price forming and stability in thestock market can be founded. The main body of the paper is composed of four parts. At first, the paperstudies whether there is disposition effect among stock investors in China and how英文摘要it is. The empirical study shows, at whole there is disposition effect for all types ofinvestors, LSI's strongest, MSI's second and SML's last. Investors'dispositioneffect is related to continous rising or falling trend of the stock market , there is nodisposition effect in the bull market but in bear market ,the reason of which is thatthe risk attitudes of investors depends on states and change with investors'expectation of probability and degree of loss or profit in the future . In the bullmarket, the investors are risk seeking to both loss and profit; in the bear market,the investors are risk seeking toloss but risk averse to profit. Taking the investorsas a whole, there are no December Effect and January Effect of disposition effect.But there are both obvious December Effect and January Effect for LSI andJanuary Effect for SSI. Investors'disposition effect is a rational behavior in Chinabecause the losing stocks in hold perform better than winning stocks in future.Generally speaking , the disposition effect may contribute to the stability of stockmarket by affecting the supply of stock , but this effect is very limited in Chinabecause the MSI and SSI's(who are the main population of investors ) dispositioneffect is not strong. Secondly, influence of stock historical return on investors trade behavior isstudied. In this part , Logit model is employed to analyze the degree of influenceof positive and negative stock historical return in different time horizons on theinvestors'buy ,sale and hold behavior . The empirical rusult is the influence ofpostive histor...
Keywords/Search Tags:stock trading behavior, behavioral finance, disposition effect, overtrading stock, historical return, empirical study
PDF Full Text Request
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