基于过度自信的交易量驱动因素建模研究  

Research on the Overconfidence and the Driving Factors of the Trading Volume

作　　者：王春峰[1] 张亚楠[1] 房振明[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《中国管理科学》2010年第4期43-48,共6页Chinese Journal of Management Science

基　　金：国家自然科学基金项目(70771076);国家杰出青年基金资助项目(70225002)

摘　　要：基于信息模型框架引入过度自信假设构建理论模型,在考虑信息结构环境的基础上建立状态依赖过度自信模型,从信息流动机制和微观机理的角度分析市场历史收益和交易量之间的关系。根据理论结果提出了私人信息冲击对交易量具有正向作用以及历史收益和交易量呈正相关的两个假说,随后基于中国证券市场的实证检验进一步验证了相关理论假说的正确性。Based on the hypothesis of state-dependent overconfidence and information structure, a theoretical model that researches the relationship between past return and trading volume from the view of information flow mechanism and micromechanism is presented. The following two hypotheses drew from the theoretical conclutions are the significant positive impact of the private information shock on the trading volume and a positive correlation between the past return and the trading volume. Then, based on China stock market, the empirical test makes the same conclusions, which supports model.

关 键 词：过度自信 信息结构 历史收益率 交易量 

分 类 号：F830.91[经济管理—金融学]