中国股票市场存在过度自信么?——行为机制和实证检验

Is There Overconfidence in China’s Stock Market? Behavioral Mechanism and Empirical Test

不同于传统的金融学假设,行为金融更关注投资者的行为特征引发的股票市场价格波动“异象”。本文针对投资者行为引发的过度自信假设,构建了股票价格上涨的过度自信评价模型,在控制规模、换手率和市场因素的条件下,分析过度自信现象是否存在。实证结果表明,中国股票市场存在着显著的“过度自信”现象,且连续上涨第三个交易日的收益率就显著上升,过度自信现象更容易出现在不活跃的小规模股票上。

This article builds a model of share yield to represent the three-phase bubbles in stock market due to investors overconfidence.Based on the model,the article verifies the existence of investors overconfidence by checking the pattern of change in yields of the stocks that have kept going up for more than 4 days in China's A-share market.The results show strong evidence of overconfident investors in China's stock market.The evidence is more significant in the trading of small cap stocks that are not actively traded as the patterns of price fluctuation for this type of stocks is more likely to meet overconfident investors expectation due to a self-fulfilling effect.