投资者行为论文：基于高频数据的中国证 券市场投资者行为研究.docVIP

投资者行为论文：基于高频数据的中国证券市场投资者行为研究 【中文摘要】近年来,我国证券市场投资者规模日益壮大,资本市场健康稳定发展对于国民经济的重要性与日俱增,因此,研究证券市场投资者行为对资本市场的影响被赋予了的现实意义。本文采用2006年-2009年的数据,通过研究五类投资者周、月主动买比与股票收益率及收益率波动性的关系,讨论了投资者投资活动对证券市场的影响。实证结果表明,对于大盘股,个人投资者的投资买比增加,股票的周、月收益率下降,而个人投资者的投资买比与股票周、月收益率波动性没有显著的相关性；机构投资者的投资买比增加,股票的周、月收益率上升,股票周收益率波动性增大,机构投资者的投资买比与月收益率波动不相关。对于中盘股,个人投资者的投资买比增加,股票的周、月收益率下降,股票周收益率波动性增大,其与月收益波动情况不相关；机构投资者投资买比增加,股票的周、月收益率上升,月收益率波动性增大,但是与股票周收益率波动不相关。对于小盘股,个人投资者投资的投资买比增加,股票的周、月收益率下降,股票周收益率波动性增大,其与月收益率波动不相关；机构投资者投资买比增加,股票周收益率上升,与月收益率相关性不显著,与股票的周、月收益率波动性不相关。最后根据实证结果,给出了促进证券市场健康发展的合理政策建议。 【英文摘要】In recent years, the scale of the securities market investors is growing amazingly. The sound development of the capital market is crucial to the economy of China. It has been given more realistic significance to study how the investors抌ehavior affects the securities market. The data is chosen from 2006 to 2009 to research the relationship between the profitability, volatility of stocks in weeks or months with different sizes of liquidity and the purchasing ratio of investors in five groups.It is shown that, to the high volume stocks, the profitability of the securities falls as the purchasing ratio of individual investors rises, and the volatility is not relevant to the purchasing ratio. The profitability and the volatility in weeks of the securities rise as the purchasing ratio of institutional investors rises, however, the volatility in months is not relevant to the purchasing ratio of institutional investors. To the medium-size volume stocks, the profitability of the securities falls and the volatility in weeks rises as the purchasing ratio of individual investors rises, and the volatility in months is not relevant to the purchasing ratio of individual investors. The profitability and the volatility in months of the securities rise as the purchasing ratio of institutional investors rises, however, the volatility in weeks is not relevant to the purchasing ratio of institutional investors. To the low volume stocks