theChineseWarrantsBubble权证泡沫中的投资者交

InvestorTradingDuringtheChinesePutWarrantsBubble*October2013NeilPearsonZhishuYang1*WethankYangZhaoforexcellentresearchassistance.“Bubbles”inAssetPricing•Thereislong-standingtheoreticalinterestin“bubbles,”datingatleasttoSmith(1776),whoattributedthemto“overtrading.”•Interesthasintensifiedfollowingthe1996-2000boominthepricesoftechnologystocks•RecentempiricalpapersincludeBrunnermeierandNagel(2004),Hong,Scheinkman,andXiong(2006),GreenwoodandNagel(2009),Griffin,Harris,Shu,andTopolaglu(2009),andXiongandYu(2011).•Empiricalworkislimitedbylackofaccesstodetaileddataoninvestors’trades.*E.g.,theempiricalanalysesinXiongandYu(2011)focusonend-of-dayclosingpricesandvolume2*AnexceptionisKaustiaandKnupfer(JFE,2012),whouseFinnishdatatostudysocialcontagionduringaperiodthatincludedthetechnologybubble.OurContributionWeusedetailedbrokerageaccounttradingrecordsfromaChinesesecuritiesfirmtostudyinvestorbehaviorduringtheChineseputwarrantsbubble•Thedatawehavecoversalmosttheentireperiodofwarranttrading,fromAugust22,2005(thedatethefirstwarrantwasissued)untilDecember31,2009Usingthesedata:•Wefindevidenceinconsistentwithaleadingtheoryofbubbles,theresaleoptiontheoryofScheinkmanandXiong(JPE,2003)•Wefindevidencethattheorderimbalancesduetothetradesofnewinvestorsforecastreturns•Wepresentstrongevidencethatsocialcontagionwasanimportantdeterminantoftheentryofnewinvestorsintothewarrantmarket,consistentwithargumentsofShillerandvariouscoauthors3OurContributionStudyingtradingbehaviorduringtheChineseputwarrantsbubbleisinterestingbecauseXiongandYu(AER2011)makeacompellingcasethatitwasabubble•Thus,wecanbeconfidentthatweareseeingthetradingbehaviorduringabubbleOtherallegedbubblesarecontroversial:•Hall(AER2001)andLiandXue(JF2009)arguethattherun-upinthepricesoftechnologystocksduring19962000canbeexplainedbytechnologyshocksandBayesianupdatingofbeliefsaboutfuturetechnologyshocks.•Garber(JPE1989,JEP1990,MITPress2000)hasofferedexplanationsoftheDutchtulipmania,theMississippiBubble,andSouthSeaBubbleintermsoffundamentals.4ChineseWarrantMarketBeganonAugust22,2005whentheBaosteelcallwarrantwaslistedontheShanghaiStockExchangeTotalof55warrantswereissued:•37callwarrants,18putwarrants•39listedinShanghai,16inShenzhen•Peakissueyearwas2006,with26warrantissues•Asoftheendofourdata(Dec.31,2009)onlyonewarrantremainedtradingWarrantstradedlikestocks,exceptthatawarrantcouldbesoldonthesamedayitwaspurchasedWarrantswerenotsimilartoU.S.-listedcallandputoptions•Calls(puts)didnothavematchingputs(calls)•Couldnotbewrittenorshort-sold5AFewFactsDatabasecontains5,692,241trades81,811warrantinvestors•80,089retailinvestors•1,722institutionalinvestorsEachinvestor,onaverage,investedin4.9differentwarrants,executedatotalofabout70transactionsNextslideshows(partof)atransitionmatrix65-minutetransitionmatrix7FrequencythatanInvestorHoldingQuantityNtofWarrantkattimetTransitionstoHoldingQuantityNuofWarrantkatTimeuNu=00Nu500500Nu1,0001,000Nu2,0002,000Nu3,0003,000Nu5,000Nt=00.89380.99950.00010.00000.00010.00000.00010Nt5000.02090.00290.99560.00050.00030.00010.0001500Nt1,0000.01080.00500.00050.99220.00150.00030.00021,000Nt2,0000.01220.00570.00030.00070.99100.00110.00082,000Nt3,0000.00830.00620.00020.00030.00090.98950.00183,000Nt5,0000.01200.00630.00010.00010.00050.00070.98935,000Nt10,0000.01500.00650.00020.00010.00010.00030.001210,000Nt20,0000.01080.00660.00020.00000.00000.00010.000320,000Nt30,0000.00460.00720.00020.00000.00000.00000.000130,000Nt50,0000.00450.00770.00020.00000.00000.00000.0001Nt50,0000.00700.00870.00020.00000.00000.00000.0000QuantityNtofwarrantkheldattimet(beginningofperiod)FractionofobservationswithNtinrange1-daytransitionmatrix8Nu=00Nu500500Nu1,0001,000Nu2,0002,000Nu3,0003,000Nu5,000Nt=00.89430.99200.00110.00080.00090.00070.00100Nt5000.02090.06890.90500.00940.00530.00230.0021500Nt1,0000.01070.09420.01020.85990.02070.00570.00351,000Nt2,0000.01210.10140.00600.01010.84780.01550.01172,000Nt3,0000.00830.10510.00480.00520.01310.83150.02333,000Nt5,0000.01190.10600.00330.00230.00800.01000.83215,000Nt10,0000.01490.11040.00320.00150.00240.00530.015310,000Nt20,0000.01080.11330.00370.00120.00100.00150.006020,000Nt30,0000.00460.11870.00390.00110.00080.00070.002230,000Nt50,0000.00450.12290.00360.00080.00060.00050.0015Nt50,0000.00700.13330.00380.00090.00060.00030.0008QuantityNtofwarrantkheldattimet(closeofpreviousday)FractionofobservationswithNtinrangeFrequencythatanInvestorHoldingQuantityNtofWarrantkattimetTransitionstoHoldingQuantityNuofWarrantkatTimeuTransition“cycles”•Theoriessuchastheresaleoptiontheoryspeaktopurchasesandsales,eachofoneunit•Inactualdata,aninvestormightusemultiplebuystobuildupaposition,andthenliquidatethepositionusingmultiplesellorders.•Thisraisestheissueofhowtomapthedatatothebuyandselltransactionsthatappearinthetheory.(Asimilarissuearisesinempiricalanalysesofthedispositioneffect.)9Transition“cycles”Introducea“transactioncycle:”•Startingfromaholdingofzerounitsofwarrantk,a“cycle”beginswithpurchaseofsomeamountofwarrantk.•Continuesthr