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清华大学学报(自然科学版)  2016, Vol. 56 Issue (6): 677-684    DOI: 10.16511/j.cnki.qhdxxb.2016.21.037
  经济与管理 本期目录 | 过刊浏览 | 高级检索 |
谁在中国股票市场中“博彩”?——基于个人投资者交易数据的实证研究
廖理1, 梁昱2, 张伟强1
1. 清华大学 五道口金融学院, 北京 100083;
2. 清华大学 经济管理学院, 北京 100084
Who gambles in the Chinese stock market?—Evidence from individual investor trading data set
LIAO Li1, LIANG Yu2, ZHANG Weiqiang1
1. PBC School of Finance, Tsinghua University, Beijing 100083, China;
2. School of Economics and Management, Tsinghua University, Beijing 100084, China
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摘要 在股票市场中, 具有低价格、 高换手率以及高历史极端正收益等特征的股票符合博彩活动的特点, 投机性较强, 被称为博彩型股票。一些投资者更倾向于持有此类股票, 表现出较强的博彩性投资偏好。该文使用个人投资者的股票交易数据, 对投资者的博彩性股票交易行为进行研究, 结果发现: 1) 个人投资者存在明显的博彩性投资偏好, 其投资组合中博彩型股票的比重(14%)显著高于市场平均水平(9%); 2) 从投资者个人特征看, 具有年轻、 男性、 投资经验少、 换手率高以及处于西部地区等特征的个人投资者更偏好博彩型股票; 3) 在牛市期间, 个人投资者的投机性更强。
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廖理
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关键词 行为金融学博彩性投资偏好个人投资者    
Abstract:Some stocks in the stock market share the common characteristics of low prices, high turnover rates, and high historical highest daily returns. These all imply strong speculative investments, so these stocks are referred to as lottery-type stocks. Some investors are very speculative and prefer to invest in lottery-type stocks. Analyses of an individual investor trading data set show that: 1) Individual investors significantly over-weight lottery-type stocks in their investment portfolios with 14% lottery-type stocks compared to the average market portfolio of 9%. 2) Young, male, less experienced investors using high turnover rates and investors from western China prefer lottery-type stocks. 3) During bull markets, investors have stronger speculative tendencies.
Key wordsbehavioral finance    gambling preference    individual investors
收稿日期: 2015-10-13      出版日期: 2016-07-01
ZTFLH:  F832.5  
引用本文:   
廖理, 梁昱, 张伟强. 谁在中国股票市场中“博彩”?——基于个人投资者交易数据的实证研究[J]. 清华大学学报(自然科学版), 2016, 56(6): 677-684.
LIAO Li, LIANG Yu, ZHANG Weiqiang. Who gambles in the Chinese stock market?—Evidence from individual investor trading data set. Journal of Tsinghua University(Science and Technology), 2016, 56(6): 677-684.
链接本文:  
http://jst.tsinghuajournals.com/CN/10.16511/j.cnki.qhdxxb.2016.21.037  或          http://jst.tsinghuajournals.com/CN/Y2016/V56/I6/677
  表1 主要变量的描述性统计
  表2 各类型股票的市场比例与个人投资者实际配置比例
  表3 个人投资者对于不同类型股票的偏好
  表4 不同个人特征的投资者对于博彩型股票的偏好
  表5 不同年龄层和投资经验分组对于博彩型股票的偏好
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