摘要:自2003年熊市起，一支被称为“宁波涨停敢死队”的股市操盘手因其独特的操作手法和出色的交易战绩引起了业内的广泛关注。本文通过对1997年5月至2008年12月期间所有涨停数据的实证分析，得出涨停敢死队的操作策略具有普遍盈利性和稳定性，而中小投资者的追涨策略总体上不盈利的结论，从而为中小投资者如何调整自身的投资偏好提出相应建议。
关键词: 涨停板 投机 实证
I.Introduction
During the bear market from 2002 to 2003, a group of traders called “Ningbo Speculation Daredevils” were paid close attention to; they traced stocks that hit upper price bounds by means of large trading volume and high turnover rate, thereby constantly creating new highs in stock prices. The success of these smart traders has made numerous individual investors believe that the method of following upper price limit events is a very effective speculation skill. In order to test this public understanding and clarify the differences between the two strategies, we compared the strategy used by individual investors with that by smart traders through empirical method so that a more realistic picture can be given to solve the confusion of many investors.
II.Previous Researches
To begin with, Mark S. Seasholes and Guojun Wu(2007) studied the predictable behavior of individual investors, temporary price floats and the rational response of smart traders in their paper using data from China stock markets, and thereby arrived at the conclusion that the upper price limit events will appear as “attention-grabbing events” which attract individual investors to become net buyers of the stocks in the following days. The smart traders, therefore, earn an average daily profit of 1.16% by selling stocks to those individual buyers after the limit-lock day.
On top of that, Shenzhen Stock Exchange Research Institute(2007) made the conclusion that the individual traders’ strategy of following stocks that hit the upper price limits bears considerable risk. By extracting data of two bull markets and one bear market from December 1996 to September 2007, they found that the possibility of loss after following such stocks and holding them for a period of time before selling exceeds 60%, which demonstrates the negative consequence of such strategy.
III.Empirical Analysis
3.1 Data
We selected nearly all the upper price limit events of stocks from May 1997 to December 2008 as our reference sample, and the corresponding stock prices before and after limit-lock days as study sample for empirical test. To make our research conclusion more accurate and persuasive, we divided our reference sample into 5 periods, with 3 bear market periods and 2 bull market periods. All data are extracted from CSMAR database.
3.2 Ningbo Smart Trader’s Strategy Analysis
As described above, Ningbo smart traders are known for their short period speculations. They do not pay attention to the overall market trend but only focus on particular stocks exhibiting outstanding market performance; when the stock is targeted, they accumulate shares on the limit-lock day as net buyers and sell the shares in the next 1-2 days through arbitrage. Accordingly, we simplified their trading strategy and earning condition as follows:
1)Smart traders in general buy shares at closing price (LCLOSE) on the stock’s limit-lock at date, and sell the shares at opening price (TOPEN) at date t+1;
2)From the above we can get the gross rate of return per stock of smart trader, which is
;
3)According to the transaction cost standard of China’s stock market, we have smart trader’s net rate of return per stock approximately as
We used the above hypotheses to test the sample data and thus obtained empirical results shown in table 1.
Table 1 Net Return Analysis in Different Periods Using Smart Trader’s Strategy
According to the statistical results in table 1, we discovered that under α=0.05 significance level, the net return of smart traders is significantly positive. This result indicates that Ningbo smart trader’s strategy is profitable in general; they can successfully earn profit through arbitrage no matter in what market, bear or bull.
3.3 Individual Investor’s Strategy Analysis
Individual investors have their own careers and therefore spend limited time and energy investing in the stock market. As a result, they have narrow access to relevant information and are hence slower in their reaction to the stock market trend, which directly results in late buying time of the stocks. Furthermore, due to the typical optimistic attitude of stock investors, they are inclined to sell after holding the stocks for a relatively long period. Accordingly, we have simplified their strategy and earning condition as follows:
1)Individual investors in general buy shares at opening price ( Pt+1) on the first day t+1 after limit-lock day, and sell the shares at closing price after 10 days ( Pt+11);
2)From the above we can get the gross rate of return per stock of individual investors, which is
;
3)Since the transaction costs encountered by individual investors are the same as those by Ningbo smart traders, we can have their net rate of return per stock written as
;
We used the above hypotheses to test the sample data and thus obtained empirical results shown in table 2.
Table 2 Gross Return Analysis in Different Periods Using Individual Investor’s Strategy
From table 2 we can see that under α=0.05 significance level, in period 2 and 4, which are bull markets, the gross returns of individual investor’s strategy turn out to be significantly positive, while in period 1, 3 and 5, which are bear markets, they are significantly negative. We further investigated the net return of their strategy and the results are basically consistent with those in table 2. This shows that the individual investor’s strategy is not profitable in general; its performance has strong correlations with the market trends, therefore unstable.
IV.Conclusion
Through the empirical analysis of both speculation strategies adopted by Ningbo smart traders and individual investors respectively, we have drawn important conclusions that the Ningbo smart trader’s strategy is profitable in general, with its performance relatively stable; in contrast, the individual investor’s strategy performance is very volatile and depends largely on the market trends. Therefore, Ningbo smart trader’s speculation strategy is quite effective.
As a result, we would like to offer some advice to the majority of individual investors of China’s stock markets. First, we should never trace stocks experiencing upper price limit events blindly, but rather make investment decisions based on comprehensive analysis of the overall market trend. Second, we should adjust our investment preferences, trying to become a rational investor who focuses more on financial conditions of the firms. In doing so, we are capable of establishing a fairer and healthier market in which everyone will get better off through the realization of a stable and highly effective financial system.
Reference
[1]Seasholes, Mark S. and Wu, Guojun, 2007, Predictable Behavior, Profits and Attention, Journal of Empirical Finance 14, 590-610.
[2]Shenzhen Stock Exchange Research Institute, 2007, Investors Should Be Aware of the Risk of Following Successive Upper Price Limit Events, China Securities Journal.
（责任编辑：梁天梅）