摘要
A股市场的交易机制和投资者结构与发达国家成熟市场存在差异,是否存在类似于美股的由异质投资者角力所导致的市场异象成为学界与业界共同关心的问题.本文从异质投资者之间多空对决视角出发,基于隔夜收益与日间收益分解,探讨了股票日内收益反转(高开低走或低开高走)的频繁程度是否对股票未来收益具有预测能力.实证结果表明:中国A股市场存在显著的"高开低走"异象,持续期可达6个月,但不存在"低开高走"异象;"高开低走"异象在小市值、高成长的"魅力股"上尤为明显,且市场情绪、博彩偏好、套利限制等因素引发的错误定价有助于解释异象成因.本文的研究结果不仅提供了关于中国A股市场异象的新的经验证据,也对降低异象影响、优化市场效率、提升监管效能等具有重要的实践意义.
The trading mechanism and investor structure of the Chinese A-share market are different from those of mature markets in developed countries.Whether there exists an anomaly caused by the tug of war between heterogeneous investors,similar to the US stock market,has become a common concern of both academic and industry.Based on the assumption of investor heterogeneity,this paper empirically examines whether the monthly intensity of the daily tug of war between individual investors and institutional investors can predict future stock returns.We decompose daily stock returns into an overnight component and a daytime component,and construct two measures of the intensity of this tug of war for a given stock by computing the abnormal frequency of daily reversals in a month that are characterized by either high or low opening prices,namely "positive overnight returns followed by negative daytime reversals" or "negative overnight returns followed by positive daytime reversals".We then examine whether either of these two measures contains predictive information about future stock returns.The main findings are as follows.There exists a significant anomaly of "positive overnight returns followed by negative daytime reversals" in the Chinese A-share market,for at least 6 months.In contrast,we find little evidence of such predictive relation when there is a high frequency of negative overnight returns followed by positive daytime reversals.It is more significant in the firms exhibiting smaller market capitalizations and higher PE ratios,in line with the characteristics of "glamour stocks".We find that investor sentiment,gambling preference and the limits of arbitrage are the main sources of the irrational mispricing in the above anomaly.Our analysis contributes to the research on the anomalies in the Chinese A-share market and provides new empirical evidence.Moreover,it has important practical significance in reducing the impact of anomalies,as well as improving market efficiency and regulatory effectiveness.
作者
尹力博
马枭
YIN Libo;MA Xiao(School of Finance,Central University of Finance and Economics,Beijing 100081,China)
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2021年第9期2239-2255,共17页
Systems Engineering-Theory & Practice
基金
国家自然科学基金面上项目(71671193)
中央财经大学“青年英才”培育支持计划项目(QYP1901)。
关键词
多空对决
投资者异质性
隔夜收益
高开低走
市场异象
错误定价
tug of war
investor heterogeneity
overnight returns
negative daytime reversals
anomalies
mispricing
