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资金优势账户可以利用投资者注意力获利吗?——基于“龙虎榜”上榜股票的券商营业部账户成交数据

刘莉亚1 金正轩1 陈瑞华1

(1.上海财经大学金融学院, 上海 200433)

【摘要】投资者的注意力是有限的。当投资者的信息获取渠道受限时,股票市场中能够吸引投资者有限注意力的事件往往能够影响其投资决策。有文献指出,股票登上“龙虎榜”的事件能够一定程度上引起股价的短期动量效应。由于“龙虎榜”是公开披露信息,具备资金优势的个人投资者账户可以有机会人为地制造出类似的注意力事件来吸引投资者的有限注意力。为了更加清楚地研究这一行为背后的动机,本文首先通过理论模型分析了资金优势账户借助注意力事件炒作股票获利行为背后的理论机制和交易模式的特征。随后,本文以2015年1月至2019年7月间中国A股市场中因涨幅偏离值达到7%而登上“龙虎榜”的股票作为研究对象进行实证检验。借助中国某一券商营业部个人投资者资金账户层面的成交数据,本文筛选出了参与股票炒作的可疑资金优势账户。通过对这些资金优势账户炒作行为和次日抛售决策之间的关系进行实证检验,本文发现:(1)股市中确实存在资金优势账户炒作股票并在次日抛售的“一日游”行为;(2)当股票登上“龙虎榜”时,若资金优势账户的炒作主导程度越高,则其炒作意图和次日抛售决策之间的正向关系就越强;(3)“龙虎榜”关于上榜股票活跃交易席位的信息披露机制能够捕捉到炒作股票并具有极强“一日游”倾向的账户。最后,本文就如何完善监管制度、交易所信息披露制度和投资者教育工作提出了政策建议。本文从中国A股市场中注意力事件的背后成因出发,研究了资金优势账户的炒作行为,为投资者注意力、资产定价和交易型价格操纵等相关领域的研究提供了微观层面的证据。同时,本文还拓展了交易所披露信息含量的相关研究,并为监管层和交易所进一步完善股票市场治理体系提供了启示。

【关键词】 注意力;股票炒作;投资者行为;

【DOI】

Whether fund-dominant accounts take advantage of investors’ attention: based on individual investors’ account-level trading data of the top-ranking listed stocks from a security company

LIU Liya1 JIN Zhengxuan1 CHEN Ruihua1

(1.School of Finance, Shanghai University of Finance and Economics, Shanghai, China 200433)

【Abstract】 Investors’ attention is limited. When investors have limited access to information resources, those events that attract investors’ limited attention in the stock market could usually affect their investment decisions. Some literature argued that to some extent, if a stock is listed on today’s top ranking list, the listing event could create a short-term momentum in its price. Since the ranking list can be noticed by anybody, the individual investor who possesses fund dominance could create the same kind of listing event artificially and manipulate other investors’ attention. To clearly test and examine this motivation, this paper firstly explained the theoretical mechanism of how fund-dominant accounts profit from pumping up the stock price and selling it in the next day by taking advantage of investors’ attention. And then, this paper chose China’s A-share stocks which are listed on the top ranking list only because its price movement deviation hit 7% on that day as the sample, and the time span is from January 2015 to July 2019. Thanks to the availability of account-level data from a China security company, a name list of suspicious speculative fund-dominant accounts was found. Through the empirical test of the relationship between the speculation of these fund-dominant accounts and the selling decision of the next day, this paper has the following findings. First, there indeed exist speculation and price manipulation activities driven by fund-dominant accounts which can be concluded as a “one-day tour” trading pattern. Second, when the stock is listed on the top ranking list, the higher the dominance of a fund-dominant account speculation, the stronger the positive relationship between the speculation intention and the next day’s selling decision. Third, the information disclosure mechanism of the top ranking list can capture the accounts which conduct stock speculation and have a strong tendency of “one-day tour.” From the perspective of the causes behind the attention events in China’s stock market, this paper studied the speculation behavior of fund-dominant accounts, and provided micro evidence for the research on investors’ attention, asset pricing and trade-based price manipulation. Also, this paper contributed to the research on the public information disclosed by stock exchanges, and provided implications for the supervisor and the stock exchange to further improve the governance system of the stock market.

【Keywords】 attention; stock speculation; investor behavior;

【DOI】

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ISSN:1001-9952

CN: 31-1012/F

Vol 46, No. 06, Pages 94-109

June 2020

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