Based on the comprehensive proprietary account data on trading and shareholding of Shanghai Stock Exchange from 2016 to 2019, this paper divides tens of millions of retail investors into five categories according to their account size and other demographic variables, and studies their trading behavior and earnings performance.
The number of small scattered accounts with an account size of less than 100000 is the largest
According to the data disclosed by CSDCC, a total of 7.1902 million new investors will be added in the first half of 2020, of which 7.185 million investors have opened A-share account. According to the monthly data, since March, the market has added more than one million per month for four consecutive months. The number of new investors in the market from March to June were 1891200, 1640400, 1214100 and 1549000, respectively. In January and February this year, the number of new investors in the market was 800700 and 895400 respectively.
However, some recent evidence shows that some retail investors can correctly predict the future stock returns and make corresponding transactions, which indicates that retail investors may have some understanding of the future stock price changes.
In the past three years, the paper collected the daily transaction information of more than 53 million accounts, and divided them into five groups according to the market value of the accounts: less than 100000 yuan, 100000-500000 yuan, 500000-3000000 yuan, 3000000-10000000 yuan, and more than 10 million yuan. The proportions were 58.7%, 28.6%, 10.9%, 1.4% and 0.4%, respectively.
According to the annual report of the Shanghai Stock Exchange, 85% of the daily trading volume of the Shanghai stock exchange comes from retail investors, while institutional investors account for only 15%. In other words, retail investors are active and dominant in the trading of Chinas stock market.
From the perspective of retail trading behavior of US stocks, retail investors tend to adopt momentum strategy in short-term 3-5 trading days (daily line level), and take counter trend strategy in 5-13 weeks (weekly level). From Chinas data, different retail groups have three distinct trading behaviors.
Investors with an account value less than 3 million yuan often adopt momentum trading strategy, which can be summarized as buy high, sell higher. But often not.
Retail investors whose market value is less than 10 million yuan often buy and sell in the opposite direction of future price changes. The stock they buy has a negative return the next day, while the stock they sell has a positive return.
On the contrary, retail investors with larger market value buy and sell stocks in the same direction as the future price trend. And its holdings are more robust.
From the perspective of the income of various investors, from January 2016 to June 2019, retail investors recorded negative income on average, while institutional investors and corporate accounts had positive earnings. Among them, retail investors with an account value of less than 100000 yuan lost the most, with an average loss of 20.53%, while retail investors with an account market value of more than 10 million yuan had the least loss, with an average loss of 1.62%. At the same time, the average return of institutional investors was 11.22%, while that of corporate accounts was 6.68%.
In the report of the world economic forum Chinas asset management industry entering the turning point of development, Zhang Xiaoyan clearly pointed out that many retail investors have speculation and gambling mentality, contributing about 80% of the stock market trading volume. Small investors (account balance less than 100000 yuan), accounting for about 75% of securities companies customers, have an average annual loss of 2000 yuan.
According to the paper, from the profit and loss amount of a single account, retail investors whose market value is less than 100000 yuan have an average annual loss of 2457 yuan, including 1532 Yuan due to stock selection, 774 Yuan due to timing, and 151 yuan of transaction costs. From the perspective of the profit and loss of institutional investors, each account has an average annual profit of 13.4477 million yuan and stock selection profit of 18.0748 million yuan. However, due to timing loss of 4.1769 million yuan, transaction costs of 450 200 yuan.
The paper also tries to find out the relationship between individual investors investment behavior and public opinion of listed companies.
The results show that retail investors pay more attention to non essential information than to basic information. Based on the public news data, this paper finds that whether the news is positive or negative, the correlation between the trading deviation degree of investors with account size less than 10 million and the future stock price trend is relatively low, while the ability of investors with account size above 10 million to predict stock trend is enhanced after the news release.
Some studies have shown that female investors are more rational
In fact, because there are more retail investors in A-share market, the research on their trading behavior is not rare.
According to the China Securities Journal, on March 22, 2019, the Research Report on the rational index of individual investors in Chinas stock market (hereinafter referred to as the report) jointly issued by the school of oceanwide international finance of Fudan University and the Shanghai Stock Exchange shows that the rationality of individual investors is weaker than that of institutions.
According to reports, the report selects the data of account transactions and positions in Shanghai stock market in the past five years (2013-2017), and makes statistics on relevant indicators every year according to the transaction and position of each account. Individual investors are subdivided into five categories according to the market value of their positions: individual investors, small investors, medium-sized investors, large investors and super large investors; institutional investors are subdivided into self operated securities dealers, securities companies asset management, public funds (excluding ETF funds), QFII, private funds, fund accounts, trust, social security funds, insurance companies, enterprise annuities, general institutions (excluding securities lending accounts) and Shanghai stocks There are 12 types of investors. In addition to the types of investors, the comparison is also made from the dimensions of gender and age.
It is understood that the irrational index score reflects the degree of rationality of investors. The irrational index is based on four indicators of irrational behavior of investors in A-share market. It reflects whether there are four typical irrational behaviors of investors, such as overconfidence, insufficient decentralization, disposal effect and speculation preference. It is worth noting that the more irrational investors are, the higher their rational index scores are.
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The research shows that individual investors are less rational than institutions. The rational index of individual, small, medium, large and super large households are 206.6, 198.6, 189.0, 182.8 and 179.9 respectively, which increases with the increase of wealth scale. All kinds of institutions are more rational than individual investors. Among them, QFII is the most rational, the rational index is only 84.2, and the most irrational is the general institutions, with the rationality index as high as 173.9.
The study also shows that female investors are more rational. The rational index of women was 196.5 and that of men was 203.9.
The conclusion of the report shows that the overall turnover rate of Chinas stock market is far higher than that of mature market, and the turnover rate of different types of investors is quite different; individual investors in Chinas stock market have obvious insufficient risk diversification, with an average of only 2 stocks, which is far lower than other types of investors; individual investors in Chinas stock market have obvious disposal effect and institutional investment On the whole, the disposal effect is not significant, and QFII, social security, funds and other institutions even have anti disposal effect; individual investors in Chinas stock market are highly speculative, and the speculative preference index is higher than all types of institutional investors; from the perspective of investor rationality index, the irrational degree of individual investors in Chinas stock market is the highest among all kinds of investors in the whole market, and the asset size is higher The more obvious the small irrationality, the higher the investors rationality, the higher the profit level. Source of this article: Yang Bin, editor in charge of daily economic news_ NF4368
The conclusion of the report shows that the overall turnover rate of Chinas stock market is far higher than that of mature market, and the turnover rate of different types of investors is quite different; individual investors in Chinas stock market have obvious insufficient risk diversification, with an average of only 2 stocks, which is far lower than other types of investors; individual investors in Chinas stock market have obvious disposal effect and institutional investment On the whole, the disposal effect is not significant, and QFII, social security, funds and other institutions even have anti disposal effect; individual investors in Chinas stock market are highly speculative, and the speculative preference index is higher than all types of institutional investors; from the perspective of investor rationality index, the irrational degree of individual investors in Chinas stock market is the highest among all kinds of investors in the whole market, and the asset size is higher The more obvious the small irrationality, the higher the investors rationality, the higher the profit level.