摘要
基于2011—2022年中国A股交易数据,研究了异质性交易策略对股价崩盘风险的影响。研究表明,个人投资者的当期情绪以及机构投资者的前期情绪,能够显著影响风险资产特质收益率的波动:个人交易者倾向于做出骑乘泡沫行为,而机构交易者则倾向于利用市场噪声情绪推高风险资产价格并提前变现离场。同时,在对股价崩盘风险和异质性交易策略之间可能存在的系统性断点进行门限检验后发现,机构投资者的相对力量效应对风险资产价格波动的影响程度存在门限点。当机构投资者的相对力量效应超过特定的阈值点时,股价长期崩盘风险会随着相对力量效应的提高而降低;而当个体交易者在市场上占据绝对主导、机构交易者相对力量降低时,股价长期崩盘风险会提高。因此,有效引导交易者对风险资产的需求回归价值面本身,避免出现噪声蛊惑和诱导交易,是有效防范化解金融交易风险的关键。
Based on the trading data of Chinese A-share market from 2011 to 2022,this article stud⁃ies the impact of heterogeneous traders on the risk of stock price collapse.According to our research,the current mood of individual investors and the early mood of institutional investors can significant⁃ly affect the volatility of risky assets’idiosyncratic returns.In specific,individual traders tend to ride the foam,while institutional traders tend to use market noise emotions to drive up the price of risky assets and exit in advance after obtain their own profits.At the same time,in conducting thresh⁃old tests on the possible systemic breakpoints between stock price collapse risk and heterogeneous trading strategies,it was found that the relative power effect of institutional investors has a threshold point on the impact of risk asset price fluctuations.When the relative strength effect of institutional investors exceeds a specific threshold,the long-term collapse risk of stock prices would decrease with the increase of the relative strength effect.However,when individual traders dominate the mar⁃ket,with the decrease in the relative power of institutional traders,the long-term collapse risk of stock prices would increase.Therefore,in order to prevent and dissolve financial transaction risks,it is important to effectively guide traders’demand for risk assets return to the intrinsic value itself and avoid unnecessary transactions causing by premeditated induction.
作者
杨颖
巩在武
Yang Ying;Gong Zaiwu
出处
《金融理论与实践》
北大核心
2023年第7期108-118,共11页
Financial Theory and Practice
基金
国家自然科学基金面上项目“非可加交互行为下的不确定偏好共识建模理论研究”(71971121)的阶段性成果。
关键词
个人投资者
机构投资者
股价崩盘风险
门限效应
individual investor
institutional investor
risk of stock price collapse
threshold effect
