The Study Of Influential Factors Of Investors' Behaviors In Margin Tradings

In the wake of development in finance, research on investment behaviors has transformed from "how should they do" to "how they on earth do". During the process of study on investment behaviors, something was found such as overconfidence as well as disposition effect which are termed as irrational behaviors that could undermine the pricing efficiency in stock market and then the market efficiency. The aim for the introduction of margin transaction is that supply and demand can be augmented in a bid to improve market liquidity and efficiency via trading mechanism of leverage and short selling. However, researchers both from domestic and abroad find that the introduction of margin transaction has very little effect to stabilize the stock market, which is attributed to the presence of a large amount of retail investors whose investment behaviors tend to be irrational.From the above background, this paper is unfolded through the irrational behaviors of investors and relevant influence factors in margin transaction as a starting point. In the first place,theoretical analysis,which is based on behavioral finance,is made to the process of advent?strengthening and vanishing of investor behaviors in margin transaction under the assumptions that financing transactions experience advent?rise?sharp rise?sharp fall and vanishing when good news come; While advent?rise?fall?and sharp rise in securities lending.Analysis is then made to influence factors of investor behaviors in margin transaction which primarily consists of subjective and objective factors under the assumptions that the two objective factors such as market return and market risk can direct or indirect influence investor behaviors in margin transaction and the two subjective factors including investor sentiment and investor expectation just do the same thing. Then regression analysis is made to test the irrational behaviors for domestic investors in margin transaction and find that investors are overconfident in margin transaction and can be even more in bull market relative to bear market herd behavior of investors, which contain a higher level in bull market relative to the level in normal market, does exist in margin transaction investors tend to be loss-averse which reflect that irrational behaviors are ubiquitous in margin transaction. Then software R is used to illustrate the behaviors of investors and successful test assumptionl via the observation of the change tendency of the balance in margin transaction in the simulating time horizon to describe the behaviors of investors. After that, VAR model is established to make the analysis of objective and subjective factors of behaviors of investors in margin transaction via granger causality?impulse response and variance analysis and get the results that the two objectives including market return and market risk as well as the two subjective factors including investor sentiment and investor expectation can both direct or indirect have impact on behaviors of investors in margin transaction, and the only difference is the direction to which it is influenced.Finally policy suggestion is given from the perspectives of institutional investors ?individual investors as well as security market through the results we get above from the analysis of behaviors of investors in margin transaction.