资本市场创新、个人投资者行为与市场稳定性——基于微观交易大数据的视角

Capital market innovation is an important driving force for financial development. The economic consequences of capital market innovation are always the focus of finance theory and regulatory authority. However, due to data and methodology limitations, there are very few research studies the impacts of capital market innovation on micro-trading activities, while most existed literature focused on the linkage between capital market innovation and macro economy and financial markets..This project intends to link capital market innovation, investor behavior and asset pricing. We first construct a model of investor behavior and asset price dynamics in the presence of capital market innovation. Based on the model, we examine the process of innovation diffusing, and the mechanics of how capital market innovation may affect investor behavior and market stability. We then conduct an empirical study by using a unique trading data set for Chinese investors based on the pilot scheme of short-selling and margin-trading, the Shanghai-Hong Kong Stock connect program and structured fund in China. Our empirical study includes three main parts. First, we examine the rapidity with which a capital market innovation is spread and adopted by investors. Second, we analyze how a particular capital market innovation may influence the trading behavior and performance of investors, and the transformation of market wealth among different investors. Third, we investigate the impact of investor behavior on asset price dynamics and market stability from the perspective of capital market innovation..Our research will facilitate the integration of capital market innovation theories with literatures in behavioral finance, and help systemically evaluate the practices of capital market innovation in China, and shed lights on future directions.

资本市场创新是金融发展的重要驱动力，其经济后果一直是金融理论和监管部门关注的焦点。囿于数据和方法，已有研究主要集中于资本市场创新对宏观经济和金融市场的效应，鲜有文献研究其对微观交易主体的影响。.本课题将资本市场创新、投资者行为及资产定价联系起来，构建资本市场创新背景下的投资者行为和资产价格动态模型，刻画资本市场创新的扩散过程，解析资本市场创新对投资者行为及群体演化的作用机制，探究资本市场创新背景下投资者行为影响市场稳定性的内在机理。基于中国股市融资融券、沪港通、分级基金等创新实践，利用市场交易数据考察资本市场创新在投资者中的传播特征，分析其对投资者行为和收益的影响，评估其市场财富分配效应，检验资本市场创新背景下投资者行为对资产价格动态和市场稳定性的影响。.本课题将推进资本市场创新和行为金融学文献的融合，也有利于系统评估我国资本市场创新实践，为未来市场创新发展的路径和方案设计提供参考。

资本市场创新是金融发展的重要驱动力，其经济后果一直是金融理论和监管部门关注的焦点。囿于数据和方法，已有研究主要集中于资本市场创新对宏观经济和金融市场的效应，鲜有文献研究其对市场参与者的影响。.本课题将资本市场创新、市场参与者行为及资产定价联系起来，构建资本市场创新背景下的市场参与者行为和资产价格动态模型，刻画资本市场创新的扩散过程，解析资本市场创新对市场参与者行为及群体演化的作用机制，探究资本市场创新背景下市场参与者行为影响市场稳定性的内在机理。基于中国股市融资融券、沪港通等重大创新实践，分析资本市场创新对市场参与者行为和投资表现的影响，检验资本市场创新背景下市场参与者行为对资产价格动态和市场稳定性的影响。.本课题将推进资本市场创新和行为金融学文献的融合，也有利于系统评估我国资本市场创新实践，为未来市场创新发展的路径和方案设计提供参考。