Do individual investors trade differently in different financial markets?
Do individual investors trade differently in different financial markets?
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DOI：
10.1080/1351847x.2019.1709524
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发表时间：
2020-01
期刊：
影响因子：
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通讯作者：
Margarida Abreu;V. Mendes
中科院分区：
文献类型：
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作者：
Margarida Abreu;V. Mendes
我们研究假设相同的投资者在不同的市场中进行不同的交易。更准确地说，我们讨论假设相同的投资者交易衍生品不同于股票。我们使用一个专有数据库，其中包含129,461名投资者在10年期间的交易记录，我们选择在其投资组合中同时持有股票和权证的投资者。我们比较了这些投资者在股票市场和权证市场的交易行为，控制了投资者的社会人口特征和行为偏差（过度自信、处置效应和追求赌博的乐趣）。尽管两个市场的投资者是相同的，但我们的结果清楚地表明，股票和权证交易活动的决定因素并不完全相同，这意味着投资者交易股票与权证不同。更准确地说，过度自信的投资者有更高的权证交易活动和更低的国内股票交易活动，追求赌博乐趣或倾向于处置效应的投资者更频繁地交易权证（但不更频繁地交易股票）。
We investigate the hypothesis that the same investors trade differently in different markets. More precisely, we discuss the hypothesis that the same investors trade derivatives differently than stocks. We use a proprietary database containing the transaction records of 129,461 investors over a 10-year period, and we select investors holding both stocks and warrants in their portfolios. We compare the trading behavior of these investors in the stock market and in the warrant market, controlling for investors’ sociodemographic characteristics and behavioral biases (overconfidence, the disposition effect and pursuit of the pleasure of gambling). Even though investors are the same in both markets, our results clearly show that the determinants of the trading activity in stocks and in warrants are not all the same, implying that investors trade stocks differently than warrants. More precisely, overconfident investors have higher warrant trading activity and lower domestic stock trading activity, and investors who are pursuing gambling pleasure or are prone to the disposition effect trade warrants more frequently (but do not more frequently trade stocks).