投资者行为如何影响股票市场流动性(管理科学学报).docxVIP

投资者行为如何影响股票市场流动性？——基于投资者情绪、信息认知和套利约束的分析刘晓星张旭顾笑贤（东南大学经济管理学院，南京，211189）摘要：投资者交易行为是形成股票市场流动性的前提和基础。在不同的市场情绪下，投资者交易行为对市场流动性有着不同的影响因子。有偏差的信息认知和有限套利的市场在投资者交易行为过程中通过行为影响因子进一步影响了市场流动性。在理论部分的推导得出影响市场流动性的三个命题后，结合我国股票市场发展现状提出了相应理论判断并对其进行了实证检验。结果发现，在我国股票市场中，投资者情绪对市场流动性的影响是正向的，投资者情绪越高，市场流动性越强；我国股票市场中参与交易的投资者在面临新的消息面时更多的呈现出认知不足的特征。该种特征下的投资者随着认知程度的增加反而会降低市场流动性；与理论判断相反，我国股票市场中开展的融资融券业务进一步促进了投资者情绪对市场流动性的影响。最后就如何构建我国有效流动性的股票市场提出了四点政策建议。关键字：投资者交易；市场流动性；行为影响因子JEL分类号：F830How does Investor Behavior Affect Stock Market Liquidity? Analysis on Investor Sentiment, Information Cognitionand Arbitrage Constraints Liu Xiaoxing Zhangxu Gu Xiaoxian （School of Economics and Management，Southeast University，Nanjing 211189）Abstract：Investors trading behavior is the premise and foundation of the stock market liquidity. Investors affected by thesentiment in limited arbitrage market make transactions based on biased information cognitive, which can affect the market liquidity through behavior factor. We first deduce three influencing propositions on the market liquidity. Then combining the status quo of Chinas stock market, we put forward three corresponding theoretical hypotheses.Through empirical tests of these hypotheses, we find that, in Chinese stock market,investor sentiment is positivelyaffecting the market liquidity: higher investor sentiment leads to stronger market liquidity. When new information comes into the market, it is more likely to be deficiently cognized by the investors involved in the stock transactions. And the conduct ofmargin trading business in Chinese stock marketfurther promotes the impact of investor sentiment on market liquidity, which is in contrast with the proposition and corresponding hypothesis. Finally, we come up with fourpolicy recommendations on how to buildaliquid stock market in efficiency. Key Words：Investor Trading；Market Liquidity；Behavior FactorJEL Classification：F8301 引言投资者行为是市场交易的基础，形成市场流动性的前提。投资者行为是如何影响股票市场流动性的？建立在理性人和市场完美假设基础上的传统金融市场理论认为，市场具有完全的流动性且不受同质的