中国股票市场个人投资者和机构投资者的过度自信差异研究

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浙江财经学院硕士学位论文

摘要

股票市场存在的众多异常现象已经很难用传统的金融理论加以解释，这就迫

使学者敢于拓宽思路，因此在这样的背景下行为金融得到了快速发展，将心理学

等知识应用到金融学之中，行为金融针对长期以来沿用的理性人假设提出了质疑，

投资者往往存在许多认知偏差，而过度自信就是广泛存在的一种。关于过度自信

问题的研究已经日臻完善，但仍有许多问题有待研究与解决，本文着重研究市场

上的两类投资者，即个人投资者和机构投资者在过度自信行为上的差异和原因。

本文建立在 Gervais，Odean（2001）提出的收入效应假设基础上，即过度自

信的投资者将其在证券市场先前所获得的收益归因于其选择股票和理解信息的能

力，而将失败的投资归咎于客观因素，并且在获得收益之后将变得更加过度自信，

其交易也就会越频繁。为了分析个人投资者和机构投资者的过度自信差异，本文

根据机构持有率高低将股票样本分为机构持有率高的和低的两组，分别衡量机构

投资者和个人投资者的交易行为特征。考虑到市值规模对研究问题的影响，先根

据市值大小分成规模不同的组合。本文就收入效应假设先用 T检验来验证中国的

A股市场是否存在过度自信现象，初步的实证结果发现中国股票市场在获得高收

益后的换手率比获得低收益后的换手率高，这说明高收益在一定程度上刺激了机

构投资者和个人投资者的交易欲望，并且在市值相当的情况下获得高收益后的个

人投资者换手率比机构投资者更高，初步判断个人投资者比机构投资者更加过度

自信。这个结论为进一步研究个人投资者和机构投资者过度自信差异提供了最重

要的基础。而后本文着重通过更严谨的研究方法分析了个人投资者和机构投资者

的过度自信行为差异。

根据 Statman，Thorley（2006）提出的过度自信效应模型建立建立滞后市场收

益和现期交易量的回归方程，并且通过 Wald 系数检验可知这两者存在正向的因果

关系，由此说明无论是个人投资者还是机构投资者都存在过度自信现象，与初步

分析的结果一致。回归结果显示机构持有率低的组比高的组滞后市场收益率和现

期交易量的因果关系更显著，这表明个人投资者的过度自信现象比机构投资者更

为明显。为了稳健性分析本文还研究了在不同市场状况、不同市场波动以及不同

股票风险三种类型下两类投资者的过度自信差异，实证结果发现个人投资者和机

构投资者在市场处于上涨趋势时比较下跌时变现出更多的过度自信，这也证实了

高的收益使投资者更加过度自信，并且个人投资者比机构投资者在市场上涨趋势

时更过度自信；当市场波动较大、预测难度增加时，个人投资者和机构投资者表

现得更加过度自信，并且个人投资者表现得比机构投资者更加过度自信，而随着

浙江财经学院硕士学位论文

市场波动幅度的下降，过度自信也随之下降，这与 Griffin，Tversky（1992）所发

现的在预测准确率较低时专家比业余者表现出更加过度自信的研究结果相违背；

本文还发现个人投资者和机构投资者都倾向于交易较高风险的股票，并且个人投

资者比机构投资者更加偏好。

由上述的实证分析可得到本文的核心观点即个人投资者比机构投资者更加过

度自信。随后本文分析了个人投资者和机构投资者产生过度自信差异的原因，考

虑到过度自信交易者往往会高估自己所获得的私人信息，低估公开信息，本文利

用个股收益率减去风险系数加权的市场收益率的绝对值来作为个股特有的信息流

动，鉴于私人信息一般都是关于个股的消息，因此用个股特有的信息流动代替私

人信息，建立交易量和个股信息流动的 VAR 模型，应用脉冲响应函数分析可知私

人信息对个人投资者的交易量冲击比机构投资者的大，这说明个人投资者对自己

所掌握的信息表现出更多的过度自信，从而解释了两类投资者的过度自信差异原

因。

关键词：个人投资者；机构投资者；过度自信差异；差异原因

浙江财经学院硕士学位论文

III

ABSTRACT

It is difficult for the traditional financial theory to explain the abnormal phenomena

existing in the stock market.This will make the scholars dare to broaden their horizon

and break through the old perception.As this background,behavioral finance which mix

psychology into the finance has been growing rapidly.The hypothesis of the rational

investor in the traditional finance had been doubted,on the contrary,investors always

have cognitive deviations and the overconfidence is one of them.The research about

overconfidence has gradually perfect,however,there are still many problems to study

and solve.This paper will discuss the difference in overconfidence trading behavior

between individual investors and institutional investors and will analyse the reason of

this diversity.

On the basis of Gervais and Odean’s（2001）return effect hypothesis，which means

that investors always attribute their success in the stock market to the information they

obtained and their own comprehensive ability，on the contrary，they attribute the failure

to objective reasons. The accumulated returns make them more overconfident and they

will trade more aggressively. To analyse the difference between individual and

institutional traders’ overconfident trading behaviors ，the sample stocks will be

classified according to institutional ownership. Classification also will be in

consideration of market capitalization.First，this paper will test if the Chinese stock

market exist overconfidence and the result is yes. Both investors will trade more after

high returns than low returns. It illustrated that high returns stimulate the investors’

trading desire. Furhermore，in the same capitalization，the individual investors are more

overconfident than institutional investors. This result provides the most important basis

for the further study. After that more rigorous research method will be applied to

analyse the difference between individual and institutional traders’ overconfident

trading behaviors.

On the basis of Statman，Thorley’s（2006）overconfident trading hypothesis, this

paper try to analyse the difference between individual and institutional traders’

confident trading behaviors by investigating causal relation between lagged market

returns and current volume. In order to go deep into this issue, their distinct behavior on

the conditions of diverse market states，market volatility，and the risk degree of stock

浙江财经学院硕士学位论文

the trade will be observed. The paper find that overconfidence is existent in both

investors，moreover，both of them trade more aggressively following market gains in

bull market，in high-volatility market，in more riskier securities following market gains.

But the important point is that individual investors perform more overconfident in all

three conditions than institutional investors. So these demonstrations mainly can support

the viewpoint that individual investors is more overconfident than institutional

investors.

Soon afterwards，The finding that individual investors always overestimate the

private information more than institutional investors may account for their different

overconfident trading behavior. The private information always make a bigger shock to

the individual investors’ trading behavior than the institutional investors’. Respecting

the above-mentioned facts，the reason of the difference between individual and

institutional traders’ overconfident trading behaviors can will be explained.

Key words：individual investor；institutional investor；overconfidence；trading behavior

difference

浙江财经学院硕士学位论文

第一章导论 ······························································································································· 1

第一节研究背景与意义 ································································································· 1

第二节研究结构与内容 ································································································· 2

第三节特色与创新点······································································································ 2

第二章文献综述 ······················································································································ 4

第一节国外研究现状及发展趋势················································································ 4

第二节国内研究现状及发展趋势················································································ 6

第三节国内外研究总结 ································································································· 8

第三章投资者过度自信的理论基础及其评述 ································································· 10

第一节过度自信的定义及其内涵·············································································· 10

第二节过度自信的影响因素 ·······················································································11

第三节过度自信对投资者的行为影响····································································· 13

第四章个人投资者和机构投资者过度自信差异的初步实证结果······························ 15

第一节样本选取与统计描述 ······················································································ 15

第二节初步T检验分析·································································································· 18

第三节换手率和市场收益因果检验 ········································································· 20

第五章个人投资者和机构投资者过度自信差异的稳健性分析 ·································· 24

第一节无条件下的差异分析 ······················································································ 24

第二节不同市场状况下的差异分析 ········································································· 27

第三节不同市场波动率的差异分析 ········································································· 31

第四节不同股票风险的差异分析·············································································· 35

第六章个人投资者和机构投资者过度自信差异的原因分析与主要结论 ················ 38

第一节差异原因分析···································································································· 39

第二节研究结论············································································································· 45

第三节研究局限与后续研究方向·············································································· 46

参考文献 ······························································································································ 47

附录一··································································································································· 52

附录二··································································································································· 55

致谢 ······································································································································· 56

浙江财经学院硕士学位论文

第一章导论

第一节研究背景与意义

当20 世纪 70 年代Fama提出有效市场假说之后，随之在此基础上诞生了资产

组合理论、资本资产定价模型、期权定价模型、套利定价模型等经典金融学理论

组成了完整的现代金融学理论体系。这些传统金融学理论都是以完美市场假设和

理性投资行为为基础的。但无论国内外，股票市场存在的众多异常现象很难用传

统的金融理论加以解释，比如中国股票市场长期普遍存在的暴涨暴跌与高换手率

现象，这就迫使学者敢于拓宽思路，在原有的理论基础上对异常现象进行深入观

察研究，追根溯源，由此打开了新的金融思想领域。特别是将心理学的综合洞察

力应用到金融当中的理论模式得到了迅速发展，自 1979 年美国普林斯顿大学的心

理学教授Kahneman，Tversky提出的展望理论（prospect theory）在 2002 年度获诺

贝尔经济学奖以来，引起了很大的反响，将人的一些行为特征与投资行为相结合

的研究日趋增多，由此行为金融迅速崛起。

行为金融针对长期以来沿用的理性人假设提出了质疑，投资者往往存在许多

认知偏差，而过度自信就是广泛存在的一种，是指在人们通过观察自身行为结果

认知自身能力的过程中，由于受情绪、偏见、信念等主观心理因素的影响，人们

过高估计了自身能力的心理特征。学者在众多领域对其进行了研究。就金融领域

来看，过度自信会给投资者行为以及整个金融市场带来许多影响，在现有文献里

学者们通过理论建模与实证分析研究了过度自信与交易量、股票市场的波动率、

投资收益等之间的相互关系，过度自信投资者是否较理性投资者低估风险，还有

的学者着重研究了导致过度自信的原因，比如过度自信投资者在对待公开信息和

私人信息时是否存在差异等相关问题。

关于过度自信问题的研究已经日臻完善，但仍有许多问题有待研究与解决，

本论文针对机构投资者与个人投资者的过度自信的程度差异进行了实证研究并分

析了产生差异的原因。有学者在研究其他过度自信问题时没有进行相关的理论分

析与实证研究就假设个人投资者比机构投资者更加过度自信，这样没有经过科学

论证的假设势必会对本身研究的问题产生一定的负面影响，因此本人觉得有必要

对机构投资者与个人投资者之间的过度自信问题进行系统的研究。这不但本身完

善了过度自信问题的研究加深了对中国股票市场的理解还可以作为一般的假设基

础为研究其他过度自信问题提供了参考价值。再从使用价值考虑，通过本文对这

两者过度自信差异的对比以及原因解释，过度自信或许是这两者收益产生巨大差

异的部分原因，这对个人投资者认知到自身的投资缺陷有一定的帮助。并且证券

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摘要：

浙江财经学院硕士学位论文I摘要股票市场存在的众多异常现象已经很难用传统的金融理论加以解释，这就迫使学者敢于拓宽思路，因此在这样的背景下行为金融得到了快速发展，将心理学等知识应用到金融学之中，行为金融针对长期以来沿用的理性人假设提出了质疑，投资者往往存在许多认知偏差，而过度自信就是广泛存在的一种。关于过度自信问题的研究已经日臻完善，但仍有许多问题有待研究与解决，本文着重研究市场上的两类投资者，即个人投资者和机构投资者在过度自信行为上的差异和原因。本文建立在Gervais，Odean（2001）提出的收入效应假设基础上，即过度自信的投资者将其在证券市场先前所获得的收益归因于其选择股票和理解信息的能...

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