【摘要】 本文利用我国股票市场上的个股交易数据,引入了非线性门限向量自回归模型对我国个人与机构投资者过度自信差异进行了检验。研究结果显示:高收益区制中,投资者会因投资收益激励而更加过度自信。同时在牛市以及低波动市场中投资者过度自信程度会上升。并且,本文还得出结论认为,即使更相信自身的盈利能力,过度自信投资者仍为风险厌恶者。最后,总的来说,个人投资者的过度自信程度要强于机构投资者。更多还原

【Abstract】 Using weekly trading data of common stocks and quarterly data of shares held by institutional investors,this paper employed a threshold vector auto regression model to examine the relative degree of overconfident trading behavior of individual investors versus institutional investors in Chinese stock market.The result shows that both types of investors exhibit stronger overconfidence in high market return regimes than in low,and they will trade with more overconfidence in bull market and low-volatility market states.And individual investors show more pronounced overconfident trading behavior than institutional investors.In the end,we conclude that,overconfident investors,who have strong belief in their profitability,are still risk-aversion investors.更多还原