机构投资者的交易行为研究:来自中国台湾股市的证据

文章以中国台湾股市为研究对象,主要研究机构投资者的交易行为。文章构建了机构投资者交易不平衡性指标——净交易,在此基础上研究机构投资者的交易行为。研究结果表明:台湾股票市场中以外资和投信基金为代表的金融机构投资者表现为正反馈的交易策略,并且交易的信息含量较高;一般法人的交易表现为负反馈的交易策略,并且交易的信息含量不足;而自营商由于交易动机复杂,交易的信息含量不明确。可见不同的机构投资者的交易行为并不相同。     

我国券商与证券投资基金的惯性反转策略比较研究——基于交易策略弹性指数

为了克服经典GTW模型的缺陷,构造了衡量机构投资者惯性反转策略的指标——"交易策略弹性指数",并以此对中国市场上券商、开放式基金、封闭式基金的行为进行实证研究和比较分析。研究表明,基于股票的当期收益,券商在半数研究期内倾向于采取反转交易策略,而开放式基金和封闭式基金则倾向于采取惯性交易策略,券商可以在一定程度上"中和"开放式基金和封闭式基金行为对市场的影响。     

Why and how do foreign institutional investors outperform domestic investors in futures trading: Evidence from Taiwan

A unique data set containing all transactions from the Taiwan Futures Exchange allows us to dissect the long-lasting outperformance of foreign institutional investors in this emerging market. We show that foreign institutional investors comprehensively outperform domestic investors in trade directions, submission types, trading counterparties, order sizes, and order aggressiveness. Although submitting passive orders increases the trading profits of each investor group significantly, particularly for foreign institutions, the most passive domestic trades still lose to the most aggressive foreign institutional trades. We suggest that information advantage plays a more important role than order submission strategy in foreign institutional investors’ superior performance.     

发展我国期货投资基金研究

国际期货市场发展的历程表明,以机构投资者为主体的投资者结构是期货市场走向成熟的一个重要标志。而期货投资基金正是机构投资者中非常重要的一种组织形式。发展期货投资基金不但有利于解决我国期货市场规模小、流动性差的问题,同时对我国资本市场的持续、健康、稳定发展也将起到巨大的推动作用。发展期货投资基金已经成为整个期货业和资本市场梦寐以求的目标。     

Institutional trading in IPOs and post-IPOs: Value-based vs speculative

Using a unique dataset from Shanghai Stock Exchange, we study institutional trading behaviors in IPOs and post-IPOs. From the perspective of value-based or speculation, we find that, (1) institutional investors are flippers on the first day of IPOs, (2) trading by institutional investors and the active institutional investors (mutual funds or brokerage) is value-based, and (3) the net buys of institutional investors can predict the long term performance of IPO-firms and shows a negative relation with a bubble in future. Since individual investors are the opponent of institutional investors, our results mean that individuals are speculators in the market. Our study suggest that institutional investors are the sophisticated ones in the market and they can process information more efficiently, whose value-based trading can enhance market price discovery and is good for market stabilization.     

A rare move: The effects of switching from a closing call auction to a continuous trading

This study investigates the effects of switching to a closing continuous trading (CCT) on market quality, while considering the trading behaviors of different types of traders. Investors become more patient in the period preceding the last trading phase, which reduces the bid–ask spread (BAS) in that period. We find an increase in the BAS and volatility during the last trading phase, due to diminishing investor patience. Market volatility and the closing pricing errors relate positively to the trading activities of foreign institutional investors. Overall, the introduction of the CCT worsens the market quality before the closing.     

The price impact of futures trades and their intraday seasonality

This study examines the price impact of futures trades and their intraday seasonality by analyzing the continuous trading session dataset of KOSPI 200 futures, including the opening and closing periods. For this purpose, the study analyzes the futures dataset that contains information on transaction times, trade directions, order sizes, and the types of investors initiating the transactions. The results suggest several novel findings. First, a substantial portion of the price impact of futures trades is persistent, indicating the presence of informed trading in the futures market. Second, informed trading is concentrated in the opening period and liquidity trading is concentrated in the closing period of the continuous trading session. Third, small trades usually have a greater price impact than large ones, supporting the existence of stealth trading by futures traders. Fourth, trades by institutional investors have a greater price impact than those by individuals, suggesting that institutional investors are better informed and/or more sophisticated than individual investors in the futures market.     

Price discovery and investor structure in stock index futures

Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates time‐varying spot‐futures linkages studied within a VECM‐DCC‐GARCH framework to changes in the investor structure of the futures market over time. Empirical results suggest that during the dominance of presumably uninformed private investors, the futures market does not contribute to price discovery. By contrast, there is evidence of information flows from futures to spot markets and a significant increase in conditional correlation between both markets as institutional investors' share in trading volume increases. We derive implications for the design of emerging futures markets. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark31:282–306, 2011     

Do Chinese Retail Option Traders Know Anything about Market Volatility?

This paper examines the information content of implied volatility in the Chinese covered warrant market and finds that the implied volatility is consistently higher than the realized volatility for all warrants and across all maturities. The implied volatility has very little information content for future volatility in the Chinese warrant market which is dominated by retail investors. Possible explanations for the results are regulatory issues such as restrictions on the short-selling of warrants, differential trading rules for stocks and warrants, high leverage and low trading costs and a market dominated by retail investors.     

投资者注意力指标测度的研究综述与展望

投资者注意力从认知心理学视角开启了行为金融学新的研究范式,并对金融资产定价和财务行为产生了深远的影响。而实证研究中如何科学测度投资者注意力一直是该领域研究的难点问题。文章通过对已有文献的梳理,从竞争性信息的干扰程度、信息的显著和易处理程度以及交易特性三个方面对投资者注意力的测度文献进行了系统整理和分析,重点在导入认知心理学的理论基础上,对比分析了这三方面指标的优缺点、注意问题及其适应范围,最后提出了未来的研究展望。     

中国股票市场行为与投资者情绪

The relationship among stock returns, market volatilities and individual investor sentiment is an important topic in behavioral economics and finance. This paper uses a unique data set—China’s newly opened stock trading accounts to test the relationships among stock returns, volatilities and individual investor sentiment in the Chinese stock market. It is found that there is a positive relationship between shifts in sentiment and stock returns, and that shifts in sentiment are negatively correlated with market volatility, that is to say, volatility increases (decreases) when investors become more bearish (bullish).      

On commodity price limits

This paper examines the behavior of futures prices and trader positions around the occurrence of price limits in commodity futures markets. We ask whether limit events are the result of shocks to fundamental volatility or the result of temporary volatility induced by the trading of noncommercial market participants (speculators). We find little evidence that limits events are the result of speculative activity, but instead associated with shocks to fundamentals that lead to persistent price changes. When futures trading halts price discovery migrates to options markets, but option prices provide a biased estimate of subsequent future prices when trading resumes.     

Time-series momentum in China's commodity futures market

This study examines the time-series momentum in China's commodity futures market. We find that a time-series momentum strategy outperforms classical passive long and cross-sectional momentum strategies in terms of the Sharpe ratio, risk-adjusted excess returns, and cumulative returns. The time-series momentum strategy with a 1-month look-back period and a 1-month holding period exhibits the best performance. We observe clear time-series momentum patterns and find that the time-series momentum strategy is effective in the Chinese commodity futures market. However, the momentum lasts for less time in China than in the United States because China's futures market seems to have a greater number of speculative investors.     

Night trading and market quality: Evidence from Chinese and US precious metal futures markets

Given a dominant exchange, how should other exchanges set their trading hours? We examine the introduction of a night session by the Shanghai Futures Exchange, allowing trading concurrently with daytime trading at the Commodity Exchange in the United States. After developing hypotheses, results for gold and silver show: trading activity has increased; liquidity in Shanghai has risen and prices are less volatile at market opening; the price discovery share of Chinese gold futures has fallen but this is not a sign of weakening market quality; and volatility spillovers increase bidirectionally. Longer trading hours have decreased market segmentation and increased information flow.     

Price discovery among SSE 50 Index-based spot,futures, and options markets

This paper studies the contribution of newly launched SSE 50 Index-based options and futures to price discovery. We find that the derivatives markets quickly begin exhibiting price leadership over the corresponding spot market, despite their short history; the information share from both derivatives markets rose from 59.84% in mid-2015 to 84.6% in mid-2017. Using substantial regulation changes during the sample period, we test the trading cost hypothesis. The increases in derivatives transaction costs do not immediately impede their roles in price discovery. Findings suggest that in nascent and immature markets, investors’ trading experience matters more than trading costs.     

基于风格层面的开放式基金反馈交易行为的实证研究

文章通过结合Sharpe模型的参数构造一个基于风格层面的基金反馈交易检验模型,对我国在2004年之前成立的开放式股票型基金的反馈交易行为进行实证研究,结果发现：基金普遍采取正反馈交易策略,价值型基金比成长型基金具有明显的正反馈交易特征;在熊市时期,债券型基金的正反馈交易特征最为突出;在牛市时期,成长型基金和债券型基金则表现出明显的负反馈交易特征;历史业绩突出的基金更容易在随后时期内采取正反馈交易策略,这种策略在熊市中会恶化业绩,而在牛市中往往会提高其随后的业绩。     

我国股票市场信息不对称现象成因与风险控制对策分析

由于信息在上市公司和投资者之间存在传递障碍,世界各国的股票市场普遍存在信息不对称现象。我国股票市场正处于经济转轨的特殊时期,信息披露制度的缺陷,信息不对称现象尤其严重,集中体现在发行者与投资者、机构投资者与个人投资者之间,致使投资者的利益蒙受损失。分析信息不对称现象在我国股票市场存在的原因,以及风险控制的对策,以确保股票市场健康有序的发展。     

The Chinese warrant bubble: A fundamental analysis

We investigate the information content in Chinese warrant prices based on an option pricing framework that incorporates short‐selling and margin‐trading constraints in the underlying stock market. We show that Chinese warrant prices can be explained under this pricing framework. On the basis of this new model, we develop a price deviation measure to quantify stock market investors' unobserved demand for short selling or margin trading due to market constraints. We find that warrant‐price deviations are driven by underlying stock valuation to a great extent. Chinese warrant prices, save for the time around expiration dates, are better characterized as derivatives than as pure bubbles.     

我国股市过度投机下个体证券投资者行为分析

过度投机是我国股市的现状,而研究这种状况下投资者采取何种投资策略,对于其能否克服投机行为带来的风险,并进而利用其他投资者的行为来获取收益至关重要。文章从行为金融的角度去研究个体投资者的交易行为,深入考察了中国个体证券投资者行为的主要特点,并分析其行为的决定因素。在此基础上提出个体证券投资者在交易中应该采取的有效投资策略。     

The Business Cycle and Profitability of Trading Strategies

Recent studies show that investor participation in the stock market rises during economic expansion and drops in economic recession. When investor participation is high, investors’ cognitive and behavioral biases are likely to have a strong influence on stock prices. We consider four trading strategies that are based on well-known market anomalies and examine their profitability under different economic conditions. For all four strategies, the portfolios that are formed in the months when the economy is expanding obtain significant profits, whereas the portfolios formed in economic recession months are not profitable. This finding is robust to different ways of classifying recession months.