中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

资本市场--行为金融
工作论文
2010-06-03 第3卷 第3期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

Why Investors Do not Buy Cheaper Securities? An Analysis of Trading by Individual Investors in Chinese Stock Market

Kalok Chan Hong Kong University of Science and TechnologyDepartment of Finance
Baolian Wang Hong Kong University of Science and TechnologyDepartment of Finance
Zhishu Yang Tsinghua UniversitySchool of Economics and Management

Does the Location of Stock Exchange Matter? A Within-Country Analysis

Li Liao Tsinghua UniversitySchool of Economics & Management
Zhisheng Li Tsinghua UniversitySchool of Economics & Management
Weiqiang Zhang Tsinghua UniversitySchool of Economics & Management
Ning Zhu UC DavisGraduate School of Management

我国股票市场的网络关注度效应—— 一个基于和讯关注度的实证检验

杨晓兰 浙江大学经济学院


论文摘要

Why Investors Do not Buy Cheaper Securities? An Analysis of Trading by Individual Investors in Chinese Stock Market

Kalok Chan Hong Kong University of Science and TechnologyDepartment of Finance
Baolian Wang Hong Kong University of Science and TechnologyDepartment of Finance
Zhishu Yang Tsinghua UniversitySchool of Economics and Management

Based on detailed trade records of individual investors who participated in both China’s A- and B- share markets, we find investors are more likely to buy A (B) shares when the A-share premium is lower (higher), when they have already held the same firm’s A (B) shares and when they have previously traded the same firm’s A (B) shares. Given that the correlation between the same firm’s A and B shares is below 70% and that A shares are more expensive, it is sensible for investors to invest more into the B shares. Our evidence suggests that investors accept a less than optimal portfolio due to lack of investment experience.

Does the Location of Stock Exchange Matter? A Within-Country Analysis

Li Liao Tsinghua UniversitySchool of Economics & Management
Zhisheng Li Tsinghua UniversitySchool of Economics & Management
Weiqiang Zhang Tsinghua UniversitySchool of Economics & Management
Ning Zhu UC DavisGraduate School of Management

The current study documents an interesting phenomenon that retail investors prefer to invest in stocks listed at the stock exchange that is geographically close to them in China. This pattern is robust when we control for the well-documented local bias within a country. Among companies with similar distances to both stock exchanges, investors still display a much stronger tendency to invest in locally-listed companies. Among stocks with similar distances to both stock exchanges, those listed in Shanghai (Shenzhen) co-move more in returns and volume, with the benchmark at the Shanghai (Shenzhen) stock exchange. Such a preference for local exchange seems not to be motivated by information advantage, because investors do not obtain abnormal returns from their trades on stocks listed nearby. Our findings provide additional evidence that non-information-based familiarity bias induces investment and that such investor biases and exchange-level sentiment influence asset price formation.

我国股票市场的网络关注度效应—— 一个基于和讯关注度的实证检验

杨晓兰 浙江大学经济学院

在网络技术不断发展的信息时代,网络信息对普通投资者决策行为的影响日益明显。根据行为金融理论,有限理性的投资者仅能关注有限个数的股票,由此对股票的网络关注度会驱动投资者基于注意力的购买行为。本文采用和讯网的个股关注度数据,利用随机效应面板数据模型检验了我国股票市场的网络关注度效应。实证结果显示当日高关注度的股票会带来当日及其次日的高换手率和高成交量。然而,关注度对收益率的影响存在反转性,关注度对当日收益率有正向的影响,对次日收益率却产生了负向影响。此外,本文还检验了新股的关注度效应,发现上市首日及前日的关注度对股票收益率、市盈率和换手率都有显著的正向影响。本文的实证结论为我国股市存在基于注意力的购买行为提供了依据,并表明机构投资者和庄家有可能通过网络媒体吸引投资者的注意力,利用投资者的行为偏差获取收益。


      中国金融研究学术网(China Financial Research Network)发表金融研究工作论文和已发表论文的摘要。
      
      如果您如希望按期收到最新的金融研究工作论文和已发表论文的摘要,请访问http://www.cfrn.com.cn,注册即可。
      
      您如果想要发表您的工作论文或已发表论文的摘要,请访问http://www.cfrn.com.cn,注册,登录,然后上传。
      
      中国金融研究学术网不拥有所发表的工作论文和已发表论文摘要的版权。读者可以免费浏览和下载。      
	  
      如果您有任何问题,请联系我们。通过E-Mail发送至:cfrn@sem.tsinghua.edu.cn。或者通过邮寄方式,寄送至:清华大学经济管理学院中国金融研究中心。邮编:100084。
      

Copyright @ 2008 China Center for Financial Research,Tsinghua University. All Rights Reserved.
版权所有 清华大学中国金融研究中心