Analysis On The Characteristics Of Active Buyers And Sellers In Stock Trading

With the development of behavioral finance,the financial academia has carried out in-depth analysis of investors’ trading behavior and specific decision-making process.Many studies have found that investors’ trading decisions to buy or sell stocks based on the historical price trend of stocks.Such investors can be divided into momentum traders,contrarian traders and traders affected by the disposal effect.At present,the research on which type of traders are dominant in individual investors and institutional investors has been common,while the research on overall investors is still rare.On the one hand,studying the trading characteristics of the overall investor will help investors to strengthen their understanding of the counterparty and guide investors to carry out specific transactions.On the other hand,it will help market regulators to understand the trading behavior of investors,provide empirical evidence and decision-making reference for policy making in the stock market,and guide investors in the stock market to invest rationally.Chordia et al.(2016)studied the trading characteristics of the overall investors in the US stock market.However,unlike mature financial markets such as the United States,which is dominated by institutional investors and has looser market policies,such developing markets as China tend to be dominated by retail investors,and there are many trading restrictions.Investors’ active trading behavior may be significantly different from that of mature markets.Therefore,it is necessary to expand the research of Chordia et al.(2016)Under this background,this paper selects the ultra-high frequency transaction data of China’s A-share market from 2007 to 2019 as the research sample.Referring to the research of Chordia et al.(2016),the trading behavior of investors to buy or sell stocks is measured by trading times and trading volume.Through Fama-Macbeth regression,this paper studies the relationship between the buying and selling behavior of investors and the past return of stocks,and analyzes the trading characteristics of the overall investors in China’s A-share market.In addition,based on the probability of informed trading(VPIN)index,this paper studies the trading characteristics of informed traders by taking stock groups with high probability of informed trading as samples.Finally,based on the data of fund shareholding ratio,this paper compares the transaction characteristics of fund managers in the month of quarterly report release with other months,and tests the window decoration behavior of fund managers.This study shows that momentum traders are the dominant investors in China’s A-share market.Based on the relatively short lag rate of return,the active buy order is mainly initiated by momentum traders,and the active sell order is mainly initiated by reverse traders and traders affected by the disposal effect;Based on the long-term lag rate of return,the active buy order is mainly initiated by the reverse traders,and the active sell order is mainly initiated by the momentum traders.In addition,informed traders are the main force of contrarian effect-driven buying transactions and momentum effect-driven selling transactions.The study also found that fund managers do not have window decoration behavior.