卖空障碍、投资者情绪与股票价格异象

利用2003年1月至2011年12月我国沪深两市A股上市公司的月度数据,采用月调整组合方式,分别利用双变量T检验法和资本资产定价模型检验中国股票市场中"价格异象"的存在性,利用相关分析法检验了价格异象不属于小公司异象,利用Tobit模型研究个人投资者持股的决定因素,采用主成分分析法构造投资者情绪指数,分析投资者情绪、卖空障碍与价格异象之间的关系。研究结果显示:股票价格越低,个人投资者持股比例越高;投资者情绪和卖空障碍是导致价格异象的主要原因。

Short-sale Impediment, Investor Sentiment and Price Anomaly

Using the monthly-adjusted portfolio data of China＇s A-share market from 2003 to 2011,this paper uses the Bivariate T-test method and the capital asset pricing model to verify the existence of stock price anomaly in China＇s stock market respectively. And it uses the correlation analysis method to find that stock price anomaly is different from size anomaly. Then it uses the Tobit model to study the determinants of indi- vidual investor shareholding, and uses the principal component analysis method to construct the investor sentiment index to analyze the relation- ship between investor sentiment, short-sale impediment and price anomaly. The result shows as follows ： the lower the stock price is, the higher the proportion of individual investors shareholding is;investor sentiment and short-sale impediment lead to stock price anomaly commonly.