摘要
笔者设计z-Tree程序模拟与真实股票市场相近的交易实验,招募实验对象并进行实验后,对数据进行统计分析,探究投资者情绪是否会影响股票市场流动性,以及投资者交易经验、信息披露、融资融券制度因素对这一影响效应的调节作用。研究结果表明,投资者情绪显著影响股票流动性水平,并且缺乏交易经验的投资者的情绪对流动性的影响程度更大;同时当投资者具有完全信息时,情绪对流动性之间是正向相关关系,如果投资者信息不对称,则情绪对流动性产生负面影响,乐观投资者情绪反而对市场流动性起着抑制作用;在进一步加入融资融券机制后会显著放大投资者情绪对市场流动性的影响效应。笔者利用实验经济学手段从微观视角剖析投资者情绪对股票流动性的影响效应,对深入认识投资者情绪、股票流动性的波动规律以及两者关系等问题有一定启示。
The paper designs a z-Tree program to simulate a trading experiment similar to that of a real stock market.After recruiting experimental subjects and conducting experiments,the statistical analysis of data results is conducted to explore whether investor sentiment will affect stock market liquidity,also how the investor trading experience,information disclosure,margin financing and securities lending system factors adjust this effect.The results show that investor sentiment significantly affects the liquidity level of stocks,and sentiments of investors who are lack of trading experience have greater influence on liquidity;at the same time,when investors have full information,investor sentiment is positive to liquidity.In the related relationship,if investors have asymmetric information,sentiments will have a negative impact on liquidity.Optimistic investor sentiment will have an inhibitory effect on market liquidity.After further joining the margin financing mechanism,it will significantly enlarge the effect of investor sentiment to the market liquidity.The article uses experimental economics to analyze the effect of investor sentiment on stock liquidity from a micro perspective,and provides a good inspiration for deep understanding of investor sentiment and the volatility of stock liquidity,also the relationship between the two.
作者
尹海员
华亦朴
YIN Hai-yuan;HUA Yi-pu
出处
《中央财经大学学报》
CSSCI
北大核心
2018年第11期38-49,共12页
Journal of Central University of Finance & Economics
基金
教育部人文社会科学基金项目"股票流动性对投资者情绪波动的响应机制研究"(项目编号:16YJA790061)
中央高校基本科研业务费专项项目"投资者情绪
股票流动性与资产配置效应"(项目编号:GK201803091)
关键词
投资者情绪
市场流动性
实验经济学
不完全信息
Investor sentiment
Market liquidity
Experimental economics
Incomplete information
作者简介
尹海员,男,1979年12月生,陕西师范大学国际商学院副教授,经济学博士,研究方向为行为金融、证券市场微观结构理论.;华亦朴,女,1993年4月生,陕西师范大学国际商学院硕士研究生,研究方向为资本市场运行与监管。
