The Empirical Research on Trading Strategies of Chinese Security Investors
基于深交所所有投资者账户和交易数据，研究个人和机构投资者的交易行为与策略，发现小散户长期买入采用动量策略、卖出采用反向策略，而中大户和机构则相反，且小散户有风险寻求、处置效应和周末效应。
Based on all investors' accounts and trading information in Shenzhen Stock Exchange, the paper stud- ies the trading behaviors and strategies of individual and institutional investors. The result shows that although the small group of individuals controlled the individual trading behaviors and strategies, the middle group and the large group were behaving in the quite same way with the institution. The small group took momentum strat- egy in the long term for buying and contrarian strategy in all period for selling. The others took contrarian strate- gy in buying and momentum strategy in selling. It also found that small group were risk-seeking investors and reluctant to realize loss, and they had disposition effect and weekly effect. However, the others are risk aversion investors.