【摘要】：本文利用中國(guó)A股市場(chǎng)中獨(dú)特的配對(duì)股票樣本對(duì)股票價(jià)格間的"非理性聯(lián)動(dòng)"現(xiàn)象進(jìn)行了研究,并探討了導(dǎo)致這種非理性聯(lián)動(dòng)的原因。本文發(fā)現(xiàn):(1)僅名稱(chēng)相似,但沒(méi)有其他相關(guān)性的配對(duì)股票收益率之間存在很高的正相關(guān)性;(2)比較名稱(chēng)變更前后股票收益率相關(guān)性的變化發(fā)現(xiàn),名稱(chēng)變更對(duì)股票之間的聯(lián)動(dòng)性具有顯著影響;(3)與機(jī)構(gòu)投資者相比,個(gè)人投資者更容易對(duì)名稱(chēng)相似的配對(duì)股票產(chǎn)生混淆;另外,投資者情緒變化幅度越大,配對(duì)股票之間的聯(lián)動(dòng)性越高,說(shuō)明投資者情緒變化對(duì)配對(duì)股票之間的聯(lián)動(dòng)起到了放大作用;除此以外,對(duì)配對(duì)股票來(lái)說(shuō),如果一只股票價(jià)格變動(dòng)反映的是"壞消息"("好消息"),則該股票收益率對(duì)另一只股票的收益率具有更高(低)的解釋力,意味著投資者由于損失厭惡而對(duì)"壞消息"的反應(yīng)程度要大于對(duì)"好消息"的反應(yīng)程度。
[Abstract]:In this paper, the "irrational linkage" between stock prices is studied by using the unique matched stock samples in the A-share market of China, and the reasons leading to this irrational linkage are discussed. It is found that: (1) there is a high positive correlation between the returns of paired stocks with only similar names but no other correlations; (2) comparing the change of stock return before and after the change of name, it is found that the change of name has a significant impact on the linkage between stocks; (3) compared with institutional investors, individual investors are more likely to confuse similar names of matched stocks; In addition, the greater the change of investor's emotion, the higher the linkage between paired stocks, which indicates that the change of investor's emotion plays a magnifying role in the linkage between paired stocks. In addition, for a paired stock, if a stock price change reflects "bad news" ("good news"), the stock yield has a higher (lower) explanation for the return of another stock. That means investors react more to "bad news" than to "good news" as a result of loss aversion.
【作者單位】： 中國(guó)社會(huì)科學(xué)院金融研究所;北京大學(xué)光華管理學(xué)院金融系;
【基金】：國(guó)家自然科學(xué)基金創(chuàng)新群體項(xiàng)目“行為金融:心理偏差、投資行為與資產(chǎn)定價(jià)”(項(xiàng)目編號(hào)71021001)的階段性成果之一
【分類(lèi)號(hào)】：F224;F832.51
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本文編號(hào)：2298808