基于投资者过度自信的中国股票市场风险研究

重庆大学硕士学位论文基于投资者过度自信的中国股票市场风险研究姓名：陈慧申请学位级别：硕士专业：技术经济及管理指导教师：陈其安2010-04I“”1996120086123A1996120086II4A1996120086IIIABSTRACTChinesestockmarket,asatypicalimmatureandemergingmarket,comparedwithmatureforeignstockmarketthereisstillabiggaponbuildingbackground,operationway,developmenthistoryandsoon,so‘financialabnormalphenomenon’aremoreprominentandsignificant,mainlyperformonboom-bustandhighturnoverphenomenoninstockmarketawayfromChineseeconomicdevelopment.Theriskofthestockmarketcomesfromhightransactionvolume,andaccordingtotheefficientmarkethypothesis,hightransactionvolumeisnon-existentinamarketwhereinvestorsarerational.Therefore,thisarticleintendedtoexplorethereasonscausingtherisksandhighturnoverofChinesestockmarketbasedonbehaviorfinanceperspective.Basedonthepreviousrelatedresearchfindings,firstofall,thisarticlemakesasystematicanalysisandconclusiononthebehaviorfeaturesofinvestorsinChinesestockmarket.Thenunderthehypothesesconditiononinvestorshaveoverconfidencepsychologicalpreferencesandareprice-takersofmarket,webuildamathematicalmodelandexploretheaffectmechanismhowinvestoroverconfidenceinfluencestheriskofChinesestockmarketintheory.Atlast,takingtherelevantdatafromJanuary1996toJune2008forthesamplesinChinesestockmarket,adoptingturnoverandmisevaluationindextomeasureinvestoroverconfidencelevel,weusetheappropriateeconometricmodeltoexploretherelationshipbetweeninvestoroverconfidencepsychologicalpreferencesandreturnsorrisksinChinesestockmarketbyempiricalresearch.Theoreticalandempiricalresearchresultsshowthat:thereisapositiverelationshipbetweeninvestoroverconfidencepsychologicalpreferencesandtheriskofChina’sstockmarket,andindifferentstagesofmarketperformance,investoroverconfidencelevelsarenotthesame,andthefactorsaffectedstockmarketrisksarealsodifferent.Thestudyresultsinthispapercanexplainboom-bustphenomenonandhighturnoverphenomenonofChinesestockmarkettosomeextent,deepeninganddevelopingthetraditionaltheoryonstockmarketrisks.Concretely,thisarticlemakestheoreticalandempiricalanalysismainlybasedonthefollowingfouraspects:1.Firstofall,usingdescriptivestatisticsmethodtoanalyzeinvestorbehaviorcharacteristicsinChinesestockmarket.Mainlyincludingage,sex,educationallevel,careerandregionaldistributionofinvestorsinchina'sstockmarket,andthenumberofIVnewaccountsoftheinvestorseachyearinthestockmark,ownershipratioofmarketvalue,holdingstockperiod,theinformationsourcesmakingdecision,sourcesofequityinvestmentfunds,andearnings,etc.PreliminaryresultsindicatethatinvestorsinChinesestockmarkethaveoverconfidentpsychologicalpreferencesandnon-rationalbehaviorcharacteristics,andinvestorperformancefortransactionsubjectingtomarketimpactmaybegreaterthanthebookvalueoftheindividuals.2.Onthebasisofpreviousresearchresults,underthehypothesesconditionthattheinvestorsareoverconfidentandprice-takers,thispaperstudiestheeffectmechanismofinvestoroverconfidentpsychologicalpreferenceontheriskofChinesestockmarketbysettingupanappropriatemathematicalmodeltheoretically.Theresultshowsthatthereisapositivecorrelationbetweeninvestoroverconfidencepsychologicalpreferencesandtheriskofstockmarket.3.TakingalltheAshareslistedontheShanghaiStockExchangeastheresearchobject,andrelevantdatainChinesestockmarketfromJanuary1996toJune2008periodforthesample,usingturnovertomeasureinvestorbehavior,marketreturntomeasuremarketperformance,accordingtomarketperformancewedividethesampleintervalandthenexploretherelationshipbetweenturnoverandmarketreturnineachsub-sample.Theresultshowsthatmarketreturnisasignificantinfluencingfactoronturnover.Andindifferentmarketperformancephases,marketreturnaffectingtheturnoverisindifferentbands.4.TakingalltheAshareslistedontheShanghaiStockExchangeastheresearchobject,andrelevantdatainstockmarketfromJanuary1996toJune2008periodforthesample.Weadopttheturnoverandmisevaluationindextomeasureinvestoroverconfidencelevel,andthenmakeuseofappropriateeconometricsmodelstostudytherelationshipbetweentheinvestors’overconfidenceandriskofChinesestockmarketineachmarketperformancephasebasedonreasonabledivisionofsampleinterval.TheresearchresultshowsthatthereisasignificantpositiverelationshipbetweeninvestoroverconfidenceandriskofChinesestockmarket.Andindifferentmarketperformancephasestheinfluencedegreeinvestoroverconfidenceontheriskofthestockmarketaredifferent.Keywords:Overconfidence,ChineseStockMarket,Return,Risk111.1“”FinancialAnomalies(Banz)[1](Smirlock)[2](Pennam)[3](Ariel)[4](Fama)[5]“”“”“”200566——20071016998.236124.045125.81513.5%200566——200666998.231679.13680.968.2%200666——2007681679.133913.142234.1133.05%200768——2007101643913.146124.042210.956.5%10%20071016——20088116124.042470.073654.3359.67%“”“”“”220081.521090.66%400—500%40—50%200566—20071016998.236124.045125.81513.5%20071200831.2Kyle[6]HarrisRavivShalen[7-8],Black“”[9]OdeanGervaisOdean[10-11]StatmanThorleyVorkink[12]70HastorfSchneiderPolefka[13]LangerandRothWeinsteinTaylorandBrown[14-16]FischhoffSlovicandLichtensteinAlpertandRaiffa480%20%[17-18]CooperDunkelbergWoo[19]RussoSchoemaker[20]BusenitzBarney[21]ZakayTuvia[22]KimNofsinger[23][