| Many theoretical and empirical research results at home and abroad show that investors with different characteristics show significant differences in their investment behavior.Investors' gender,age,income,experience,education,culture,and country will allaffect the trading behavior of their buying or selling of securities,which will affect their investment performance.Considering that Chinese investors have relatively high levels of irrationality and speculation,the leverage of margin trading will strengthen the investor's speculative psychology,and the lack of relatively systematic and relevant research in the existing literature,this paper focuses on investor characteristics and transactions.On the basis of the theoretical analysis of the behavior and its investment performance correlation,use the accounts of all securities and securities lending accounts opened by a securities company in China in 50 securities businesses in 35 cities across the country from September 12,2012 to November 11,2015.Information and transaction information,using empirical analysis methods to examine the characteristics of China's A-share market,the relationship between the characteristics of the margin trading,and its investment performance and its trading behavior.In order to provide a decision-making reference for the regulators to improve the margin trading system,investors regulate the behavior of their margin trading.First of all,this paper uses a simple statistical method to examine the correlation between the characteristics of margin trading and trading and the trading performance.By constructing indicators such as gender dummy variables,age,age of stocks,number of transactions under each round-trip transaction,time for holding stocks under each round-trip transaction,and dummy variables of the investor's city,such trader's own characteristics are constructed.The effect of its trading performance,where transaction performance is measured using the rate of return of each trader's round-trip transaction.Secondly,this paper uses non-parametric test method and multiple regression analysis method to examine the correlation between the characteristics of margin trading providers and their opening transactions.Limited by the sample data,this article only examines the two open trading strategies commonly used by margin trading companies,namely the momentum trading strategy and the reverse trading strategy.Finally,this paper uses the K-W differential test method and multivariate regression analysis method to examine the correlation between the characteristics of the margin trading and the short-selling traders.Using the commonly used measure indicators of disposition effects,this paper examines the existence of disposition effects in the closing behavior of financing traders and lenders,as well as the correlation between the characteristics of traders and margin trading and their disposal effects.The conclusions of this paper are as follows:(1)In the financing transaction process,traders' gender,age,age of shares,and urban differences will significantly affect their performance.Among them,male traders have excessive trading behaviors,which leads to worse performance of their earnings than female traders;age and stock age have a positive effect on trading returns,indicating that the growth of traders'age and the increase in the age of their shares contribute to improvement.Trader's earnings performance;traders in developed cities performed better than those in underdeveloped cities.However,unlike the conclusions obtained from financing transactions,this article did not find that the above factors have a significant impact on the trader's earnings performance during the securities lending process.(2)Market trends will seriously affect the investment income of margin trading investors.When the market is in a bullish state,the market will increase the income of the financing trader and reduce the income of the lending trader.(3)The increase in the number of transactions and the time for holding shares will significantly reduce the performance of margin trading and margin trading transactions.Whether it is a financing transaction or a short-selling transaction,in the round-trip transaction,the cumulative transaction frequency and the holding time have a significant negative impact on the trader's return.(4)Whether the market is in a bull market or a bear market,financing traders tend to adopt reversal trading strategies in the short term and both have strong earnings forecasting capabilities,while the lending traders do not clearly prefer to adopt two transactions.Any of the strategies(reversals and momentum)does not predict the future direction of the stock.(5)In China's A-share market,traders engaged in financing transactions have a significant disposal effect when selling collateral and selling securities repayment transactions,that is,they tend to sell profitable stocks too early and hold stocks that lose money..In addition,compared with the conclusions of domestic and foreign scholars on the disposal effect of China's ordinary investors,due to the richer experience level and greater risk tolerance ability of the financing trader,the impact of the disposal effect is greater than that of ordinary investors.The effect is low.(6)The level of disposition effect of female financing traders is higher than that of male financing traders.However,the higher level of disposition effect of women investors proposed in the existing literature is due to their strong loss aversion psychology.This paper believes that in the financing transaction process,the decisive psychology of early realization of profit is to make It is the main reason for the higher intensity of treatment effects than male investors.(7)The level of investment experience can significantly reduce the degree of disposal effect of investors.The level of disposal effect faced by financing traders with rich investment experience is lower.The reason for this may be that experienced investors are more mature and can more accurately grasp the future trend of the stock market,so as to avoid premature profitability and stop loss.(8)Consistent with existing studies,we have found that compared with infrequent traders,the level of disposition effect of frequent traders is lower,and the relationship between overconfidence behavior and disposal effect of investors is negatively correlated,ie investment.The overconfidence and disposition effects of the individual do not tend to occur at the same time.We also found that the strength of the disposal effect of investors who do not frequently make round-trip transactions is higher than that of investors who often make round-trip transactions.In addition,this article does not find that different ages of investors have different levels of treatment effects.We also did not find that the degree of development of the city where investors live has brought about a significant difference in the intensity of its disposal effect.(9)China's securities lending investors also have a disposition effect.However,this article does not find that the characteristics of the investors under investigation will significantly affect the degree of their disposal effects.That is,the characteristics of different traders are not found in this paper.Different disposition effects are shownThe possible academic contributions of this article are mainly reflected in the following aspects:First,based on the existing behavioral finance theory,a systematic analysis of the relationship between investor characteristics and transaction behavior and their investment performance is conducted.Second,for the first time,using the account information and transaction information of the margin financing and short-selling traders,we examined in detail the relationship between the trading behaviors of the margin trading companies in the Chinese A-share market and their performance and trader characteristics.Third,enrich existing research results.The results of this study find that margin trading companies in China's A-share market have some distinctly different trading behaviors,which can provide reference and reference for further theoretical analysis and research.Fourth,it provides empirical evidence and decision-making reference for the improvement of China's margin financing and securities trading system and China's stock market stability policy formulation.It helps the regulatory authorities to improve the structure of margin trading providers,regulate investor behavior,and strengthen investor education. |
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