The Empirical Study Of Chinese Security Investors' Structure And Behavior

American financial crisis tells us that sound development of capital market and security of financial system are the most important thing to international and domestic financial systems. Investors make capital market, so there is an interaction between the structures and behaviors of investors and capital market. On one hand, the perfection of investors'structure and the regulation of investors' behaviors will improve the sound development of capital market, such as reducing market wave, improving market circulation, information transmission fast and full. On the other hand, capital market plays an important part in investors' structure and behaviors, such as structure optimization, professional level rising, investment idea raise, and investment style diversification. A sound market environment is able to improve investors' structure and behaviors, but unhealthy market will cause the investors' structure worsen and behaviors more irrational.Compared with mature market, the investors' structure in our country's capital market has serious detuning, individual investor occupies the absolute majorities, the institutions are few; The non-specialized institutional investors own big proportion of stocks, the specialized institutional investors own stocks few; The investors' overall quality is low, the contrary behaviors are too many, the institutions have "the banker" pattern; The sole market investment style does not favor the stable stock market; Funds develop excessively quickly, social society funds, enterprise annuity, and insurance companies just start, individual investor troop atrophy and so on. So there is a series question of investor structure and behaviors, which cause the study on investor structure and behaviors extremely essential. Until now domestic and foreign studies have not theory and result about "capital market should have what type of investor structure", therefore the research on investors' structure and behaviors in our country's capital market has the strong theory value and the practical significance.This paper has a study frame as follows:This paper has 7 chapters:chapter 1 is introduction, giving study purpose, meaning, method, frame, creation of this paper. Chapter 2 is literature reviews of foreign and domestic studies. Based on the development of behavioral finance, this paper summarizes the study situation of existing papers and gives estimation to them from psychology studies, pricing studies, and empirical studies of behavioral finance. Chapter 3 is our country investors' structure type and descriptive statistics. That is the beginning of main parts of this paper, showing the dataset of this paper. The following chapter 4,5,6 are main parts of this paper. Chapter 4 is our country investors'trading strategy, including momentum and contrarian strategy, weekday effect strategy, market behavioral strategy, and value/growth strategy. Chapter 5 is our country investors' trading behavior, including high abnormal trading volume, extreme one-day returns, high turnover rate, price limit, IPO and 13 industries. Chapter 6 is our country investors' pricing predictive ability, including different market behavior and stock. Chapter 7 is conclusion, suggestion, shortage, and improvement.This paper makes several important contributions as follows:Though statistical analysis, this paper shows the majority of investors (by value and number) are individual investors in China. By classification, the majority of investors are the Smallest Group of individual investors, and investment funds are the majority in institutional investors.Individual investors are irrational immature investors, and institutional investors are rational mature investors. Among individuals, the Large Group and the Middle Group are rational mature investors, similar with institutions. The Smallest Group is irrational immature investors.Therefore, we should reasonably develop institutional investors and optimize the investor structure of capital market; we should regulate the behavior of investors especially for small retail investors, giving them knowledge and technology and suggesting them use pro institutions to invest; we should strictly punish the banker" pattern, black story, inside trading, so we can provide a good policy environment of fair, open, just to our capital market.This paper has creations as follows:First, this paper has creation on dataset. this study based on the leading edge of models and methods of behavioral finance, employs a comprehensive dataset included the complete transaction history and account information of all shareholders of SZSE stocks from January 1,2002, through December 31,2007. Our sample therefore contains daily detail records of trades of SZSE A shares transacted by 68.41 millions institutional and individual brokerage accounts across Chinese Mainland for the period. Each trade record includes the date and time of the transaction, a stock code, order type (buy or sell), bid/ask records, transaction price, the number of shares purchase or sell, and an account identifier of the trader. It is the only one dataset based on all investors' accounts in our country. At the same time, this paper also uses market public data. Based on first hand data, we can make sure the conclusions are real, comprehensive and deep.Second, this paper has creation on method. This paper first classifies individual investors into three types. We divide individual accounts into three groups based on average market values of their shareholdings. Individual investors with average stockholding market values of greater than or equal to RMB$ 10 million are in the 'Largest Group', those with average stockholding market values of greater than or equal to RMB$ lmillion but less than RMB$ 10 million are in the 'Middle Group', and finally, those with average stockholding market values of less than RMB$ 1 million are in the'Smallest Group'. It is the first study in our country. Then for clearly understanding and study the behavior of investors, this paper improves the net buy ratio and net sell ratio.Third, this paper has creation on content. This paper uses all account information to study trading strategy and behavior (especially trading attention-grabbing stocks), make up the blank of our country.