本文選題：股市震蕩 + 投資者行為　； 參考：《證券市場導報》2010年11期

【摘要】：本文以2007年2月27日和5月30日兩次股市大跌為研究對象,利用上海證券交易所投資者高質(zhì)量的賬戶交易數(shù)據(jù)對不同類型投資者大跌當日及其前后幾日的買賣交易行為進行統(tǒng)計分析,并基于向量自回歸(VAR)模型方法對各類投資者的交易策略及其影響股市大跌的研究發(fā)現(xiàn),D類機構(主要是公募基金)和散戶中的大戶對市場有重要影響力,其交易行為不僅會影響隨后的股價漲跌,也會影響到中小散戶的交易策略,他們是上海股市中的知情交易者,且兩類投資者在交易策略上存在較為顯著的正相關關系;中小散戶扮演了噪音交易者角色,其大量交易為大戶提供了流動性;B類機構(主要是法人機構)和D類機構在交易行為上有一定程度的羊群行為。論文研究也為一直以來爭論不休的機構投資者的市場穩(wěn)定功能問題提供了一個新的分析視角,即不同類型機構投資者在股市大跌中的交易行為及其在股市大跌中扮演的角色是存在差異的。
[Abstract]:This paper focuses on the stock market crash on February 27 and May 30, 2007. Using the high-quality account trading data of investors on the Shanghai Stock Exchange, this paper makes a statistical analysis on the trading behavior of different types of investors on and around the day of the sharp drop. Based on vector autoregressive (VAR) model, the paper studies the trading strategies of all kinds of investors and their impact on the stock market. It is found that the large investors in class D institutions (mainly public funds) and retail investors have important influence on the market. Their trading behavior will not only affect the subsequent stock price rise and fall, but also affect the trading strategy of small and medium-sized retail investors, they are informed traders in the Shanghai stock market, and the two types of investors in the trading strategy has a more significant positive correlation; Small and medium-sized retail investors play the role of noise traders, and a large number of transactions provide liquidity for large investors. B type institutions (mainly corporate bodies) and D institutions have a certain degree of herding behavior. This paper also provides a new perspective for the analysis of the market stability function of institutional investors, which has been debated for a long time. That is, the trading behavior of different types of institutional investors in the stock market tumble and their role in the stock market crash are different.
【作者單位】： 南京大學工程管理學院;
【基金】：國家自然基金重點項目(70932003);國家自然科學基金項目(70671053,70701016,10726072,70901037) 國家社會科學基金(07CJL014) 教育部人文社會科學研究項目(09YJCZH061);教育部科技創(chuàng)新工程重大項目培育資金項目(708044)支持
【分類號】：F224;F832.51

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相關期刊論文 前1條

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相關期刊論文 前8條

1 王e，

本文編號：2103919