Empirical Study, The Securities And Exchange Behavioral Characteristics Based On The Of X Sales Department Customer Data

Using the true client's account trading data of a branch of one domestic securities company from January 1, 2009 to December 31, 2010, this paper selects 300 clients and equally classifies them into 3 groups in term of rate of return, namely the winner group, the break-even group and the loser group. Then, the paper analyzes the order submission, allocation of capital as well as the trading behavior of post-event of investors and obtains their main characteristics of trading behaviors, which has important implications for establishing sound trading strategies.This paper is divided into five parts. The first part is the introduction, including the development of Chinese security markets, literature review, and the purpose of this paper. The second part is using the account data to analyze client's trading characteristics from seven aspects, such as the features and time of order submission, holding period, trading price, etc., and also to examine the relationship between features of trading behaviors and trading result. The third part is analyzing the feature of the allocation of client's capital, and further investigating the relationship between the return of each group and its beta. The fourth part is the analysis of trading behavior after some influential events were released, such as the continuous adjustments of the deposit reserve ratio from the central bank, the publication of economic statistic, "Country 4" policy release and the announcement of production output control of special ores policy, as well as the release of annual financial statement reports. In the fifth part, we summarize the trading features of each sample group separately and conclude the paper.The results indicate that there are differences in the trading strategies between the sample groups and these differences affect the costs and return of the clients in different sample groups. Moreover, unlike the results in traditional finance theory, the investors who gain high return do not face high risk. Finally, according the results presented in this paper, we know that under the background in which the Chinese security market has a "policy market", following the trend of security market, holding little long-term decline or the recent rise of stocks is likely to reduce costs or obtain profits.