基于VAR的投资者过度自信与过度交易实证研究  

Empirical Research on Investor's Overconfidence and Overtrading Based on VAR

作　　者：祝璧文 

机构地区：[1]江西财经大学经济学院,江西南昌330013

出　　处：《科技广场》2016年第6期102-106,共5页Science Mosaic

摘　　要：在我国股票市场上,过度自信是一个非常普遍的现象。综合目前已有的文献资料来看,过度自信的投资者往往趋向于有较高的股票交易数量。当市场中有着部分过度自信的投资者时,市场整体上呈现出很高的交易量,而这种非理性表现出来就是过度交易。本文依据行为金融学对过度自信的分析,根据我国市场上投资者所独有的特点,运用VAR模型实证研究过度自信存在引起过度交易的可能性,以及随着股市不断发展,过度自信导致过度交易的影响水平有着不断减少的趋势。Overconfidence is a very common phenomenon in China＇s stock market. Based on a comprehensive review of currently available literature, the overconfidence of investors often leads to a relatively large amount of stock trading. When the market has a part of overconfident investors that exhibit a very high volume of transactions, this is manifested as irrational excessive trading. Based on behavioral finance overconfidence analysis, and based on our market investor＇s unique features, the paper, by using VAR model, researches empirically the possibility of overconfidence causing excessive trading, as well as the tendency of declining influences of overconfidence on excessive trading along with the continuous development of the stock market.

关 键 词：过度自信 过度交易 理论模型 VAR模型 

分 类 号：F224[经济管理—国民经济] F832.51