CAJ | 학술논문

本文利用深圳证券交易所所有投资者账户信息和交易信息，基于财富水平，将个人投资者分为小个人组、中个人组和大个人组三类，在此基础上，研究分类个人投资者和机构投资者的交易行为。结果显示，小个人组的交易行为左右了个人总体的行为，而中个人组和大个人组的行为与机构极其相似；小个人组和个人总体在买入时，从短期来看采用反转策略，从长期来看采用动量策略，卖出时均采用反转策略；中个人组、大个人组和机构无论从长期还是短期来看，在买入时都采用反转策略，卖出时都采用动量策略。同时我们发现，小个人组趋于非理性，是风险偏好型投资者，具有损失厌恶心理，并且存在处置效应和周内效应；而中个人组、大个人组和机构投资者是风险厌恶型投资者。
본문이용심수증권교역소소유투자자장호신식화교역신식，기우재부수평，장개인투자자분위소개인조、중개인조화대개인조삼류，재차기출상，연구분류개인투자자화궤구투자자적교역행위。결과현시，소개인조적교역행위좌우료개인총체적행위，이중개인조화대개인조적행위여궤구겁기상사；소개인조화개인총체재매입시，종단기래간채용반전책략，종장기래간채용동량책략，매출시균채용반전책략；중개인조、대개인조화궤구무론종장기환시단기래간，재매입시도채용반전책략，매출시도채용동량책략。동시아문발현，소개인조추우비이성，시풍험편호형투자자，구유손실염악심리，병차존재처치효응화주내효응；이중개인조、대개인조화궤구투자자시풍험염악형투자자。
Based on all investors＇ accounts and trading intormation in Shenzhen Stock Exchange, the paper studies the trading behaviors and strategies of individual and institutional investors. The result shows that although the small group of individuals controlled the individual trading behaviors and strategies, the middle group and the large group were behaving in the quite same way with the institution. The small group took momentum strategy in the long term for buying and contrarian strategy in all period for selling. The others took contrarian strategy in buying and momentum strategy in selling. It also found that small group were risk-seeking investors and reluctant to realize loss, and they had disposition effect and weekly effect. However, the others are risk aversion investors.