A Behavioral Classification of Investors in Shanghai Stock Market

摘要

In our study, we analyzed a securities clearing dataset from a Chinese brokerage firm, and classified investors based on their behavior. We calculate every account's market value, number of stocks and trading frequency, then reduce every account's stock portfolio to corresponding expected risk and rate of return. And we cluster these accounts using k-means algorithm, and obtain four distinct clusters, which are small-account investors, bigaccount investors, medium-account with risk-aversion investors, medium-account with risk-preference investors. The analysis of the results reveals that small account investors prefer risks a little more than that with scale capital. Furthermore, among the investors with the medium-account, more people tend to avert risk, and riskpreference investors are more inclined to change their holding stocks than risk-aversion ones.