Gauging the effect of investor overconfidence on trading volume from the perspective of the relationship between lagged stock returns and current trading volume

被引：3

作者：

Huang, Jiayu ^{[1
]}

Wang, Yifan ^{[1
]}

Fan, Yaojun ^{[2
]}

Li, Hexuan ^{[3
]}

机构：

[1] Krirk Univ, Int Coll, Dept Business Adm, Bangkok, Thailand

[2] Dhurakij Pundit Univ, Chinese Int Coll, Bangkok 10210, Thailand

[3] Woosuk Univ, Sch Social Econ, Jeonju, South Korea

来源：

INTERNATIONAL FINANCE | 2022年 / 25卷 / 01期

关键词：

overconfidence; self-attribution; transaction volume; VAR model; COGNITIVE BIAS MODIFICATION; BEHAVIORAL FINANCE; EFFICIENT MARKETS; INFORMATION; PSYCHOLOGY; MOMENTUM; EARNINGS; PRICES;

D O I：

10.1111/infi.12405

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Is investor overconfidence a major source of stock-market trading volume? This study refers to the work of Grossman and Odean, introduces the assumption of investor overconfidence and empirically examines the influence of investor overconfidence on market trading volume in China's A-share market through a vector autoregressive model estimation and Granger causality test. We find that overconfidence and self-attribution exist in China's A-share market. When the market is on an upswing, investors attribute large returns to the accuracy of their private information and the quality of their investment abilities; thus they trade more frequently, causing trading volume to increase more quickly. Conversely, when the market is on a downswing, investors attribute their investment losses to uncontrollable external factors; thus they become unwilling to trade, causing trading volume to shrink rapidly.

引用

页码：103 / 123

页数：21

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