本文關鍵詞： 個人投資者 機構投資者 過度自信差異 差異原因　出處：《浙江財經學院》2013年碩士論文　論文類型：學位論文

【摘要】：股票市場存在的眾多異�，F(xiàn)象已經很難用傳統(tǒng)的金融理論加以解釋，這就迫使學者敢于拓寬思路，因此在這樣的背景下行為金融得到了快速發(fā)展，將心理學等知識應用到金融學之中，行為金融針對長期以來沿用的理性人假設提出了質疑，投資者往往存在許多認知偏差，而過度自信就是廣泛存在的一種。關于過度自信問題的研究已經日臻完善，但仍有許多問題有待研究與解決，，本文著重研究市場上的兩類投資者，即個人投資者和機構投資者在過度自信行為上的差異和原因。 本文建立在Gervais，Odean（2001）提出的收入效應假設基礎上，即過度自信的投資者將其在證券市場先前所獲得的收益歸因于其選擇股票和理解信息的能力，而將失敗的投資歸咎于客觀因素，并且在獲得收益之后將變得更加過度自信，其交易也就會越頻繁。為了分析個人投資者和機構投資者的過度自信差異，本文根據(jù)機構持有率高低將股票樣本分為機構持有率高的和低的兩組，分別衡量機構投資者和個人投資者的交易行為特征。考慮到市值規(guī)模對研究問題的影響，先根據(jù)市值大小分成規(guī)模不同的組合。本文就收入效應假設先用T檢驗來驗證中國的A股市場是否存在過度自信現(xiàn)象，初步的實證結果發(fā)現(xiàn)中國股票市場在獲得高收益后的換手率比獲得低收益后的換手率高，這說明高收益在一定程度上刺激了機構投資者和個人投資者的交易欲望，并且在市值相當?shù)那闆r下獲得高收益后的個人投資者換手率比機構投資者更高，初步判斷個人投資者比機構投資者更加過度自信。這個結論為進一步研究個人投資者和機構投資者過度自信差異提供了最重要的基礎。而后本文著重通過更嚴謹?shù)难芯糠椒ǚ治隽藗�人投資者和機構投資者的過度自信行為差異。 根據(jù)Statman，Thorley（2006）提出的過度自信效應模型建立建立滯后市場收益和現(xiàn)期交易量的回歸方程，并且通過Wald系數(shù)檢驗可知這兩者存在正向的因果關系，由此說明無論是個人投資者還是機構投資者都存在過度自信現(xiàn)象，與初步分析的結果一致�；貧w結果顯示機構持有率低的組比高的組滯后市場收益率和現(xiàn)期交易量的因果關系更顯著，這表明個人投資者的過度自信現(xiàn)象比機構投資者更為明顯。為了穩(wěn)健性分析本文還研究了在不同市場狀況、不同市場波動以及不同股票風險三種類型下兩類投資者的過度自信差異，實證結果發(fā)現(xiàn)個人投資者和機構投資者在市場處于上漲趨勢時比較下跌時變現(xiàn)出更多的過度自信，這也證實了高的收益使投資者更加過度自信，并且個人投資者比機構投資者在市場上漲趨勢時更過度自信；當市場波動較大、預測難度增加時，個人投資者和機構投資者表現(xiàn)得更加過度自信，并且個人投資者表現(xiàn)得比機構投資者更加過度自信，而隨著市場波動幅度的下降，過度自信也隨之下降，這與Griffin，Tversky（1992）所發(fā)現(xiàn)的在預測準確率較低時專家比業(yè)余者表現(xiàn)出更加過度自信的研究結果相違背；本文還發(fā)現(xiàn)個人投資者和機構投資者都傾向于交易較高風險的股票，并且個人投資者比機構投資者更加偏好。 由上述的實證分析可得到本文的核心觀點即個人投資者比機構投資者更加過度自信。隨后本文分析了個人投資者和機構投資者產生過度自信差異的原因，考慮到過度自信交易者往往會高估自己所獲得的私人信息，低估公開信息，本文利用個股收益率減去風險系數(shù)加權的市場收益率的絕對值來作為個股特有的信息流動，鑒于私人信息一般都是關于個股的消息，因此用個股特有的信息流動代替私人信息，建立交易量和個股信息流動的VAR模型，應用脈沖響應函數(shù)分析可知私人信息對個人投資者的交易量沖擊比機構投資者的大，這說明個人投資者對自己所掌握的信息表現(xiàn)出更多的過度自信，從而解釋了兩類投資者的過度自信差異原因。
[Abstract]:Many abnormal phenomena existing in the stock market has been very difficult for the traditional financial theory to explain, which forced the scholars dare to broaden the mind, so in this background of behavioral finance has been developing rapidly, the psychology knowledge applied to finance, behavioral finance for rational people hypothesis has long been questioned. There are many investors cognitive bias, overconfidence is a widespread phenomenon. The research about overconfidence has been more and more perfect, but there are still many problems to study and solve. This paper focuses on two kinds of investors on the market, the individual investors and institutional investors overconfidence differences in behavior and the reasons.
This paper is based on the Gervais, Odean (2001) proposed the income effect based on the hypotheses that overconfident investors in the stock market before the gains attributed to the ability of their choice and understanding of stock information, and the failure of the investment due to objective factors, and then gains will become more over confident. The transaction will be more frequent. In order to analyze the overconfidence differences between individual investors and institutional investors, according to the ratio of the stock holding institutions were divided into institutions holding high and low two groups, respectively, to measure the characteristics of trading behavior of institutional investors and individual investors. Considering the influence of the size of the market value of the research questions, first according to the market value of the scale size is divided into different combinations. The income effect hypothesis by T test to verify the existence of overconfidence China A shares market, preliminary real Results of the China stock market found in obtaining high yield after the turnover rate than the low income after the turnover rate is high, the high income stimulated by institutional investors and individual investors trading desire in a certain extent, and obtain high income individual investors turnover rate is higher than the institutional investors in the market value of the case preliminary judgment, individual investors are more overconfident than institutionalinvestors. This conclusion provides the most important basis for the further study of individual investors and institutional investors' overconfidence differences. Then this paper through more rigorous research method to analyze the differences of overconfidence behavior of individual investors and institutional investors.
According to Statman, Thorley (2006) regression equation of overconfidence effect model is put forward to establish lagged market returns and current trading volume, and the causal relationship between the positive Wald coefficient test shows that both, therefore whether individual investors or institutional investors have overconfidence, and preliminary analysis was consistent with the results of the regression results. Show the causal relationship between low holding rate institutions group than group lagged market returns and the current trading volume is more significant, suggesting that overconfidence of individual investors are more obvious than institutional investors. In order to robustness analysis is studied in different market conditions, overconfidence differences between the two types of investors in different market fluctuations and different stock risk three types of empirical results show that the upward trend between individual investors and institutional investors in the market Fall show more overconfidence, which also confirmed the high returns to investors more overconfident, individual investors and institutional investors in the market than the rising trend of more overconfidence; when market volatility, the forecast difficulty increases, individual investors and institutional investors were more overconfident, and better than individual investors institutional investors are more overconfident, and with the decline in market volatility, overconfidence also decreased, and the Griffin, Tversky (1992) found in the prediction accuracy is lower than the expert amateur show more overconfidence results contrary; this paper also finds that the individual investors and institutional investors tend to the higher the risk of stock trading, individual investors and institutional investors more than preferences.
From the above empirical analysis can be the core point that individual investors more overconfident than institutionalinvestors. Then this paper analyzes the causes of individual investors and institutional investors have overconfidence, considering the overconfidence traders tend to overestimate their own private information obtained, underestimate the public information, the stock return rate minus the weighted the risk factor of the market rate of return of absolute value as the stock information flow characteristic, in view of the private information is generally about the stock news, instead of private information by stock specific information flow, establish the VAR model of trading volume and stock information flow, using the impulse response function analysis shows that the trading volume of private information the impact on individual investors than institutional investors, which shows that individual investors on their own understanding of the information show more too The reason for the overconfidence difference between the two types of investors is explained by the degree of confidence.

【學位授予單位】：浙江財經學院
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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