| 牛市熊市中机构投资者的行为分析 |
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| 引用本文： | 淳于松涛,杨春鹏,杨德平. 牛市熊市中机构投资者的行为分析[J]. 青岛大学学报(自然科学版), 2007, 20(1): 93-96 |
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| 作者姓名： | 淳于松涛 杨春鹏 杨德平 |
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| 作者单位： | 青岛大学经济学院,青岛,266071;青岛大学经济学院,青岛,266071;青岛大学经济学院,青岛,266071 |
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| 摘 要： | 传统金融理论认为机构投资者是“理性经济人”,从而能够采取正确的投资策略。而通过行为金融学的研究发现,机构投资者在投资心理和行为上也会出现各种偏差。根据国内封闭式证券投资基金每季度公布的数据,通过配对T检验的方法,对比分析在牛市、熊市开始和结束时,基金持有股票占资产净值的比例,得出国内机构投资者有“噪声交易者”的特性,并且预测能力和择时能力欠佳的结论。
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| 关 键 词： | 机构投资者 封闭式基金 配对T检验 噪音交易者 过度自信 |
| 文章编号： | 1006-1037（2007）01-0093-04 |
| 收稿时间： | 2007-01-24 |
| 修稿时间： | 2007-01-24 |
Analysis on Institutional Investors Behavior in Bull Market and Bear Market |
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| CHUN-YU Song-tao,YANG Chun-peng,YANG De-ping. Analysis on Institutional Investors Behavior in Bull Market and Bear Market[J]. Journal of Qingdao University(Natural Science Edition), 2007, 20(1): 93-96 |
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| Authors: | CHUN-YU Song-tao YANG Chun-peng YANG De-ping |
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| Affiliation: | College of Economics, Oingdao University, Qingdao 266071, China |
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| Abstract: | Traditional financial theory regards institutional investors as "rational economy person",who can adopt proper investment strategies.Through empirical analysis,scholars find that institutional investors also have biases in investment psychology and behavior.This paper uses the data that were published quarterly by close-end funds,adopts "paired-samples T-test" method to analyze the ratio of stocks hold by funds against the NPV at the beginning and the end of both bull and bear markets.Results show that domestic institutional investors have characteristics of "noise traders",and the abilities of forecasting and time-choice are also not satisfyied with. |
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| Keywords: | institutional investor close-end fund paired-samples T-test noise traders overconfidence |
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