Investor's behavior influences effectively collocation of resources through influencing the asset pricing。Differing from the modern financial theory which studies the investors'behavior of security market under perfectly rational assumption of people，the behavior financial theory（BFT）has been studied investors'limited rational behavior based on the research results of psychology and decision-makingscience.Behavioral finance theory breaks through the research paradigm of traditional financial theory on expected utility maximization and Efficient market Hypothesis（EMH），and re-examines the key factors which impact on the financial market from the investors’actual decision-making of psychological，then explained effectively many“anomalies”of financial market.The investors’decision is a process of measuring risk and benefits，it is easy to be affected by psychological factors，such as heuristic cognitive deviation，emotion，and time-control，etc.
China's stock market belongs to developing stock market，which has characters in government supervise，market micro-structure，structure of stock right and composing of its investors.So the research of individual investors’behavior which composes of main body of China’s stock market has great meaning to enrich and prove the theory of behavior finance and the construction of China’s stock market.
Based on the research of BFT，this book studies the key psychological factors firstly，explaining the investors'behavior，and then under the guidance of BFT，this book takes individual investors'behavior in China's stock market as study object，and aims at finding investors'single and colonial behavior rule and rationality degree characteristics by the empirical study on individual investor's trade data in the secondary market of China’s stock market。Therefore，this study gets the following main conclusion and innovation：
Individual investors of Chinese stock market are influenced remarkably by the heuristic cognitive deviation and the framing dependence deviation.Because of heuristic cognitive deviation，stock historical returns impact on China's individual investor's decision in the way of decreasing with time postphoning，the same day's stock returns has the largest influence on investor's decision。With time aheading，the impact of stock historical returns on investor's decision reduced progressively，and will be faint a month ago.In sell-hold decision，the larger do the price fluctuate，the more probability the investors sell the stocks.
The influence of positive stock historical returns to individual investors’decision is greater than the negative stock historical returns.In sell-buy decision，the influence of negative stock historical returns to individual investors’decision is greater than the positive stock historical returns.The negative stock historical returns influence longer to investors’decision than the positive ones.Because of the framing dependence deviation，the form of the information of the stock price influences investors’decision to buy or sell stocks，under the form of tendency of the stock price（goes up or drops down in succession），the probability that investors expect the stock price to reverse should be smaller than that of stock yield（historical returns）.The market situation influences the degree of investors’cognitive deviation，the stock historical returns in bull market have a greater influence than that in the bear market.No matter to holding or buying decision，the individual investors prefer selling the drooping down stocks in the bull market than that in the bear market.
The individual investors in China's stock market demonstrated remarkably disposition effect and hedonic edit effect.Disposition effect correlates with market situations，and the investors generally demonstrated disposition effect in the bull market，appeared reverse-disposition effect in the bear market，which may be caused by the quantities of loss and gain stocks in investors mental account changing for the market situation having changed the reference-point of investors value function.Disposition effect decreases gradually with the degree of loss or gain increasing，and appears reverse-disposition effect.This phenomenon indicates that investors’risk perfect may change when the degree of loss and gain is great enough.
The hedonic edit effect of investors indicates that they will realize the improvement of psychological utility by way of consolidating gains and amalgamating loss.The research proves that investors have a trading characteristic of selling loss stocks clusteringly and selling gain stocks separately that are not remarkable in the bull market and more remarkable in the bear market than that in the total period.
Individual investors of China's stock market demonstrate very remarkable herd behavior，and the selling herd behavior is stronger than the buying herd behavior.The investors demonstrate herd behavior notably in every year and month，which indicates that investors'herd behavior comes from their inherent psychological factors.Meanwhile，the investors herd behavior is still affected by going up and falling down of the stock price，the investors'herd behavior is greater while the stock price goes up than that while dropping on the trading day.The investors buying herd behavior when the stock price fall down is greater than that while going up in the trade day，and the investors'selling herd behavior is opposite.
Individual investors of China's stock market demonstrate very remarkable momentum strategy generally。Investors may adopt more momentum strategy in the bull market。The individual investors may adopt different strategies to different scale stocks。To the small-scale stock，investors may adopt more constrain strategy，and the probability of adopting momentum strategy increases with the increase of the scale of the stocks.
