CAJ | 학술논문

框架效应对投资者投资决策产生日益重要的影响,但是目前国内相关的实证研究还很少见到,本文对其进行实证检验。本文借鉴Kumar和Lim（2006）的指标,基于中国某证券营业部的个体投资者的交易数据,构建横截面模型对中国市场个体投资者的框架效应进行实证检验,之后对其进行稳健性检验。研究发现中国个体投资者显著地受到框架效应的影响。框架效应影响程度主要受组合规模、交易规模、组合中的股票数目和年交易次数的影响。
광가효응대투자자투자결책산생일익중요적영향,단시목전국내상관적실증연구환흔소견도,본문대기진행실증검험。본문차감Kumar화Lim（2006）적지표,기우중국모증권영업부적개체투자자적교역수거,구건횡절면모형대중국시장개체투자자적광가효응진행실증검험,지후대기진행은건성검험。연구발현중국개체투자자현저지수도광가효응적영향。광가효응영향정도주요수조합규모、교역규모、조합중적고표수목화년교역차수적영향。
The narrow framing effect has played an increasingly important role for individual investors in their investment decisions, but related empirical tests in China have rarely been found. This paper has done an empirical test on this effect. Based on the data of individual investors trading in a discount brokerage in Nanjing, this paper uses Kumar and Lim （2006） Model. We established a cross-sectional regression model to do empirical research on narrow framing effect of individual investors in China so that we were able to do robustness test about it. The results indicate that individual investors in China are remarkably affected by narrow framing effect and the level of individual investors affected by narrow framing effect are mainly affected by the level of trading size, the level of the portfolio size, the number of stocks in the portfolio and trades per year.