中国股票投资者的处置效应检验和参考价格选择

处置效应是一种比较典型的投资者非理性行为。本文在线性量价回归模型的基础上,引入Grinblatt和Han^1]提出的资本利得突出量来检验中国股票投资者整体上是否存在处置效应。然后,使用新提出的6个参考价格与以往对股票市场研究中主要使用的两个参考价格(股票过去260周内加权平均价和过去52周内最高价)相比较,寻找更加适合处置效应研究的参考价格;同时,在选择不同的参考价格下,进一步检验投资者是否存在处置效应。研究结果表明:中国股票投资者整体上存在处置效应;并且在处置效应的研究中,新提出的参考价格——股票5周加权移动平均价明显优于以往学者提出的参考价格。因此,研究整个股票市场中投资者的处置效应时,使用该价格作为参考价格更加合理。

Chinese Stock Investors' Disposition Effect Testing and Reference Price Choosing

The disposition effect is a typical irrational behavior. Based on the linear regression model of volume-price, a new variable named "capital gain overhang"^1]is introduced into this model to test whether Chinese stock investors show "disposition effect" when they are engaged in stock trading. And then, by comparing with the two common reference prices (the 5-year weighted average price and the 52-week high price), six new reference prices in our empirical model are put forward to find a more appropriate reference price in Chinese stock market. Meanwhile, through choosing different reference prices in empirical analysis, "disposition effecting" Chinese stock market on the whole is also checked. The research results show that Chinese stock investors present "disposition effect" on the whole. And the proposed new reference price (the 5-week weigted moving average price) is better than the previous commonly used reference prices in our empirical study. Therefore, using this price as a reference price is more reasonable when studying the disposition effect of entire stock market investors.