泡沫与崩溃中的投资者行为及财富分配影响

Bubbles and crashes—the repeated emergence of extreme price movements—have long intrigued economists. However, many important research questions remain open, partly due to the lack of complete and granular-level data in these market episodes. We contribute to this line of research by exploiting daily regulatory bookkeeping data from the Shanghai Stock Exchange that cover the entire investor population, and we focus on an extraordinary period—from July 2014 to December 2015—during which the Chinese stock market experienced a rollercoaster ride: the Shanghai Composite Index climbed more than 150% from July 2014 to its peak on June 2015, before crashing 40% by the end of 2015. We plan to examine the trading behavior, in particular, capital inflows and outflows during this extreme market episode, of various investor groups, as well as the underlying economic mechanisms and the consequent wealth implications. Specifically, we plan to (1) provide overall description of trading and stock-holding in this period; (2) set up an analysis framework that has footings in theory; (3) examine trading patterns of different investor groups; (4) investigate the mechanisms that drive the observed heterogeneity; (5) explore consequent wealth transfer across investor groups; and (6) understand moderating factors for investment behavior and wealth implications. This research would shed light on the pattern, origin, and consequence of heterogeneous investment behavior across different groups in bubbles and crashes, and it would generate potentially important policy implications.

泡沫与崩溃——这类历史上反复出现的极端金融现象——历来是经济学家们非常关心的话题。然而由于可得数据的限制，这个领域还存在大量悬而未决的问题。本项目拟聚焦2014-2015年我国资本市场出现的泡沫与崩溃，利用上海证券交易所提供的的完整的、细粒化的持仓与交易数据，系统、完整的分析和比较各类投资者在泡沫与崩溃中的投资行为，投资行为背后的原因，及其造成的财富后果，并从一个全新的角度探讨泡沫与崩溃的社会影响——对财富分配不平等的影响。具体研究内容包括：（1）描述泡沫-崩溃时期的市场概况；（2）梳理经典投资理论，构建分析框架；（3）分析不同类别投资者的行为模式；（4）探究行为差异背后的原因；（5）分析投资行为导致的财富分配效应；（6）讨论影响投资者行为和财富分配的各种因素。本项目的研究对推进泡沫与崩溃研究领域的发展有重要的学术意义，对深入理解我国资本市场、合理制定相关政策也有重要的实际意义。

泡沫与崩溃——这类历史上反复出现的极端金融现象——历来是经济学家们非常关心的话题。然而由于可得数据的限制，这个领域还存在大量的未解决的问题。本项目拟聚焦2014-2015年我国资本市场出现的泡沫与崩溃，利用上海证券交易所提供的的完整的、细粒化的持仓与交易数据，系统、完整的分析和比较各类投资者在泡沫与崩溃中的投资行为，投资行为背后的原因，及其造成的财富后果，并从一个全新的角度探讨泡沫与崩溃的社会影响——对财富分配不平等的影响。研究结果发现泡沫与崩溃极大的放大了金融市场中的财富转移：在14年7月到15年12月市场剧烈波动的18个月中，市场中最大的0.5%的投资者通过主动交易盈利，而85%的小投资者亏损，数额为2500亿人人民币。这个数字是两组投资者期初账户市值的30%。同时，我们探究了财富转移背后的原因，认为不同财富水平的投资者交易水平/获取信息的区别是一个重要原因。更重要的是，这种投资水平的差异在市场剧烈波动时被成倍放大，使的市场泡沫与崩溃时期的财富转移也成倍加剧。