【摘要】 本文探讨了投资者过度自信假说能否解释我国A股市场波动性与个股波动性。结果显示:(1)投资者过度自信行为所产生的市场超额交易量能够解释市场波动性;(2)大部分个股其超额交易量能够由投资者过度自信行为解释,其中又有38.2%的个股其波动性可由投资者过度自信行为解释,并且这些个股具有小市值、低换手率、低机构持股比特征;(3)过度自信投资者承担了过多的风险,但是与理性投资者一样充分理解了市场上公开的财务信息。更多还原

【Abstract】 This paper investigates whether investors’ overconfidence hypothesis can explain the market volatility and individual stock volatility in Chinese A Share Market(CASM). The conclusions are:(1) The market excess turnover caused by overconfident investors has positive effect on market volatility;(2) The excess turnover of the majority of CASM stocks can explained by investors’ overconfidence, and 38.2% of above mentioned stocks whose return volatilities can also be explained by investors ’overconfidence. And those stocks are small-cap, lower turnover and lower institutional shareholding ratio shares;(3) Overconfidence investors take on too much risk, but they don’t misunderstand the listed companies’ financial information.更多还原