【摘要】 本文首先基于我国A股市场机构股票持有数据,构建了不同的投资组合来区分机构投资者与个人投资者的投资行为。然后运用Granger因果检验与SUR估计,探讨了我国证券市场机构投资者与个人投资者是否具有过度自信行为,结果表明无论是机构投资者还是个人投资者在不同市场状态下都存在交易过多的过度自信认知偏差。并且我国证券市场上个人投资者与机构投资者的过度自信程度在不同的市场状态下并无明显差异。最后提出了相关政策建议。更多还原

【Abstract】 Using the quarterly fraction of shares held by institutional investors in Chinese A Share Market,this paper,forms different portfolios to distinguish the differences in trading behavior between individual and institutional investors.And we investigate whether individual and institutional investors trade overconfidently by Granger causality test and SUR.The conclusion is that both individual and institutional investors are overconfident in bull or bear markets.In addition,there is no difference between individual and institutional investors’overconfidence.At the end of the paper,some relevant suggestions are presented.更多还原