投资者过度自信、卖空交易与“特质波动率之谜”  

Investor’s Overconfidence, Short-selling Transactions and “Idiosyncratic Volatility Puzzle”

作　　者：冯胡娟 潘群星 Feng Hujuan;Pan Qunxing(Nanjing University of Finance and Economics,Nanjing,Jiangsu,210023,China)

机构地区：[1]南京财经大学金融学院,江苏南京210023

出　　处：《现代营销（下）》2021年第3期25-27,共3页Marketing Management Review

基　　金：教育部人文社会科学研究项目:贸易摩擦背景下中美股市波动若干典型事实特征和跨国风险传染性研究(编号:20YJAZH080);江苏高校哲学社会科学研究项目:贸易摩擦下中美股市波动的不对称性、记忆性及关联性问题研究(编号:2019SJA0258)。

摘　　要：本文以中国上证A股市场为研究对象,选取2015年上证50股指期货的开展该自然实验,运用事件分析法研究卖空机制通过投资者非持续性过度自信渠道对于"特质波动率之谜"的影响。研究发现,中国上证A股市场存在"特质波动率之谜",卖空机制的打开可以缓解中国上证A股市场的投资者的过度反应,进而缓解"特质波动率之谜"。This article takes the Shanghai Stock Exchange A-share market in China as the research object, selects the natural experiment of the SSE 50 stock index futures in 2015, and uses the event analysis method to study the impact that short-selling mechanism through the channel of overconfidence of investors to "idiosyncratic volatility puzzle". The study found that there is a "idiosyncratic volatility puzzle" in China’s SSE A-share market. The opening of the short selling mechanism can alleviate the overreaction of investors in China’s SSE A-share market, thereby alleviating the "idiosyncratic volatility puzzle".

关 键 词：特质波动率 事件分析法 非持续性过度自信 卖空机制 

分 类 号：F[经济管理]