The Behavior and Performance of Individual Investors in China

摘要：

A large body of finance literature has documented that investors succumb to behavioral biases in making their investment decis ions in the U.S. and other developed stock markets. This paper extends the literature by examining trading behavior and performance of individual investors in the emerging China’s stock market using the monthly categorized ownership data uniquely available from the Shanghai Stock Exchange (SHSE). Broadly consistent with the evidence in developed markets, we find that Chinese individual investors tend to be overconfident (namely, they trade excessively and hold risky stocks), engaged in feedback trading, and predisposed to sell past outperforming stocks and hold on to past losers. We also report that stocks individual investors buy underperform those that they sell by 1.8％ - 4％ for different size and BM-based portfolios on the market-adjusted basis over the subsequent six months.

关键词： individual investor behavior Behavioral bias China’s stock market Investment performance

作者: Changyun Wang Qian Sun Su Ling Chee

作者单位: School of Business National University of Singapore Nanyang Business School Nanyang Technological University

会议类型: 国际会议

会议名称: 2005年中国国际金融年会

会议地点: 昆明

会议语种:英文

在线出版日期: 2005-07-05（万方平台首次上网日期，不代表论文的发表时间）