رفتار تجاری نهادها و افراد در بازارهای سهام چین
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|12732||2007||16 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Banking & Finance, Volume 31, Issue 9, September 2007, Pages 2695–2710
This paper employs a unique data set to analyze the trading behavior of 4.74 million individual and institutional investors across Mainland China. Results show that groups of individual investors with varying trade values (as proxies for wealth levels) engage in different trading strategies. Chinese institutions are momentum investors, while less wealthy Chinese individual investors at large are contrarian investors. The results also indicate that a small group of wealthiest Chinese individuals tend to behave like institutions when they buy stocks, and behave like less wealthy individuals when they sell. Furthermore, only the trading activities of institutions and of wealthiest individuals can affect future stock volatility, but those of Chinese individual investors at large have no predictive power for future stock returns.
Financial economists are often intrigued by the trading behavior of institutional and individual investors in financial markets. The recent availability of more proprietary data has afforded researchers the opportunity to empirically examine the issue. Much of the evidence shows that past price performance significantly influences how institutions and individuals trade. Existing findings indicate that institutions and individuals differ systematically in their reactions to past price performance and in the degree to which they follow momentum and contrarian strategies. A number of empirical studies examine the behavior of institutions, but produce somewhat mixed results. Grinblatt et al. (1995), while not Lakonishok et al., 1992 and Gompers and Metrick, 2001, find evidence of positive feedback trading by US institutions. Other studies, on the other hand, investigate the behavior of individual investors and provide evidence that individual investment choices are also affected by past stock performance. Odean, 1998, Odean, 1999 and Barber and Odean, 2000 find that on average individual investors are “antimomentum” investors. Griffin et al. (2003) examine the trading behavior of of both US individuals and institutions, and show that institutional buying, while individual selling, reveals strong momentum investing. Some researchers look at the trading behavior of investors in foreign markets. Choe et al. (1999) find daily positive-feedback trading by Korean institutional investors but short-run contrarian trading by Korean individual investors. Grinblatt and Keloharju (2001) document that Finnish domestic investors, generally, tend to be contrarian investors, while foreign investors tend to be momentum traders. Shapira and Venezia (2006) focus on the trading behavior of Israeli investors and find that individuals increase, while institutions transact fewer, sells and buys after the weekend. While the existing results offer important insights into the differential trading behaviors of institutional and individual investors, they focus mainly on developed markets. Except for Korea and Israel, there is little research on emerging markets, possibly due to the difficulty of obtaining similar data on these markets. In this study, we employ a new unique data set that allows us to examine the equity trading behaviors of individual and institutional investors in Mainland China. There are two key reasons why studying Chinese equity markets is important and how this study contributes to the existing literature. First, China has the largest and one of the fast growing economies in the world. Its two domestic stock exchanges, the Shanghai Stock Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE), were only established in December 1990 and July 1991, respectively. With robust developments over the last decade, the combined market capitalization of the two exchanges has grown from Renminbi (RMB) 104 billion in 1992 to RMB 3.83 trillion in 2002,2 with corresponding increase in annual market turnover from RMB 68.1 billion to RMB 2.8 trillion. Also, the number of domestic investor accounts has increased from 2.2 millions to 68.8 millions; 99.5% of the latter are individual accounts and 0.5% are institutional accounts (Chinese Securities Depository & Clearing Co. Ltd, 2002). The Chinese equity markets are clearly dominated by individual investors, compared to developed equity markets where a form of polarization between individual and institutional investors is evident. Given the short history of the local markets, the Chinese investors’ trading experiences and hence levels of sophistication are unlikely to be comparable with those of investors from developed markets. This unique institutional setting motivates us to examine whether the large group of Chinese individual investors behave like other individual investors from developed markets. Second, our analyses employ detailed information of the orders executed on the SHSE.3 The trade records contain account identifiers that allow us to differentiate the trades executed by institutions and individual investors. Our data set contains 77.12 million trades of A shares executed by 7.24 million institutional and individual investment accounts across Mainland China for the period April 2001 through August 2002. The turnover of our sample constitutes at least 32% of the total market turnover, but more importantly, the distribution of individual and institutional accounts in our sample is similar to the overall distribution of the investor population in Mainland China. It is important to emphasize that our large sample of investor trade records not only allows us to perform a comprehensive and thorough analysis of the trading patterns of individual investors, but also increases our power to detect any similarities or differences in their trading patterns. We recognize that there might be many other important influences on any given trading activity, and some variation in trading activity might be driven by individual investors’ behavioral biases as well as economic events and news. Given the high variability of trading activities, it is critical to maximize power by employing a large number of trades executed by a large investing group of individual investors. To facilitate our analyses, we classify the large cross-section of individual investors into three groups based on their average trade values. With no margin trading and short-selling permitted in Chinese equity markets, an investor’s average trade value ought to serve as a reasonably good proxy for her wealth level. Results show that past positive and negative stock returns exhibit differential effects on the buy and sell decisions of individual and institutional investors. While Chinese institutions act as momentum traders when they buy and sell stocks, individuals with varying trade values exhibit different trading behaviors. For example, less wealthy individuals behave as contrarian investors in general, whereas wealthiest individuals behave like institutions when they buy but like less wealthy individuals when they sell. Our study further shows that only the net buying of stocks by wealthiest individuals and the net selling by institutions help decrease future stock volatility. There is some evidence that institutions act as net sellers of some stocks whose net buyers are the wealthiest individuals. In contrast, the majority of individual investors who are less wealthy and are small players in the market exert no significant influence on stock volatility. Moreover, there is no evidence that institutional and individual investor trades have return predictability. The lack of return predictability is probably due to the speculative nature of Chinese equity markets (see Mei et al., 2005) and the relatively inexperienced Chinese individual investors. The remainder of the paper is organized as follows. Section 2 describes our sample data and variables that we employ in our analyses. Section 3 discusses the methodology and the results. Section 4 looks at the impact of investor trading behavior on future stock volatility and returns, and the final section summarizes.