摘要
本文是对中国股票市场过度自信问题所作的实证研究。本文在投资者对公开信息和私人信息有不同反应的假设基础上,建立一个两变量向量自回归模型,着重考察了A股市场价值加权和平均加权的股票收益率和交易量对私人信息和公开信息冲击的不同反应。实证结果表明:与美国股市的情况类似,中国A股市场上投资者对公开信息反应不足,而对私人信息反应过度,并且私人信息短期内可以造成剧烈冲击,而公开信息冲击较小且不持久,投资者确实存在过度自信现象。
This paper is an empirical study on the overconfidence effects in China＇s stock markets. Based on the assumption that investors react differently to public and private information, we set up a Bivariate Vector Auto-regression Model （BVAR） to examine different responses of value-weighted and equal-weighted stock returns and trading volume from public and private information shocks. The results show that, similar with the case in US stock markets, investors under-react to public information and over-react to private information in A-share market. Private information shocks may bring great volatility in the short-run, while private information shocks are weak and cannot persist, i.e. , investors have overconfidence features indeed.
出处
《统计研究》
CSSCI
北大核心
2009年第10期80-87,共8页
Statistical Research
基金
国家自然科学基金课题“公司治理与内幕交易行为及监管创新研究”(70573034)
国家985项目“科技发展与人文精神创新基地”资助
关键词
过度自信
交易量
公开信息
私人信息
Overconfidence
Trading Volume
Public Information
Private Information
