中国证券市场趋势策略与投资者行为研究.pdf

上海交通大学 硕士学位论文 中国证券市场趋势策略与投资者行为研究 姓名：曹敏 申请学位级别：硕士 专业：管理科学与工程 指导教师：吴冲锋 2003.1.1 I 1 2 3 3-5 1-3 II Research on Trend Strategy and Investor Behavior in Chinese Stock Market Abstract Nowadays, as the financial system becomes more and more fictitious and complex, psychological factors and behaviors features of ‘human’ become a most important cause of the financial complexity. In recent years, research of Behavioral Finance and research on momentum and contrarian have become a hot area in the field of finance research. Based on the systematical discussion of EMH and Behavioral Finance theory, this paper takes the Chinese securities markets, a typical emerging market, as the major object to do the research of momentum, contrarian and the trend strategy. After doing classification of the trend strategy, this paper focuses specifically on the medium-term price momentum strategy and long-term value strategy. The result indicates that (1) Medium-term price momentum doesn’t exist in Chinese Stock Market; (2) Long- term value strategy can make superior return in Chinese Stock Market; (3) The effective contrarian cycle is much shorter in China than in the US. In general, the effective contrarian cycle in US is 3-5 years, while the cycle in China is 1-3 years. We attribute the effect to the short-term behavior, high turnover ratios, high volatility of Chinese Stock Market. Using trading records for accounts at four branches of two security companies, this study analyzes the effects of stock price trends on the trading decision and investment behavior of investors. The results show that, during the sample period, more than one third of the investors follow trend-based strategy, adopting momentum strategy when buying and constrain strategy when selling. We find two common behaviors of investors-- anchoring and disposition effect. Our results may have important implications for further academic study and regulation policy decision. Key Words: Chinese Stock Market, Trend Strategy, Value Strategy, Investor Behavior 1 1 1.1 CAPM EMH 2001 4 R.J.Shiller Irrational Exuberance 。