中国股市投资者过度自信行为的实证研究

Empirical Research on Overconfidence of Investors in Chinese Stock Market

行为金融学研究发现,在面对风险性选择时,投资者具有过度自信的认知偏差,本文介绍了过度自信的相关概念及研究现状,并运用上海证券市场1997-2006年的个股数据和日收益率研究了中国股市投资者的过度自信行为。结果表明,中国证券市场的投资者存在过度自信的行为,而且在市场上升阶段过度自信的程度要大于市场下降阶段的过度自信程度。

Based on behavioral finance we find that investors have cognitive deviation when they are confronted with risk choices. First this paper introduces the concepts and the present researches on overconfidence. Then it uses the data of stock and return ratio in Chinese stock market and makes empirical research on the overconfidence of Chinese investors. The results demonstrate that in Chinese stock market there exists the behavior of overconfidence. What＇s more, the degree of overconfidence is higher when the market is up than the degree when the market is down.