整体视角下的投资者过度自信实证研究

过度自信是行为金融学中的一个重要假说。本文以证券市场整体为研究对象,采用可行的广义最小二乘法(FGLS)估计线性回归模型并结合格兰杰因果检验、指数自回归条件异方差模型(EGARCH)等对中国证券投资者过度自信情况进行实证研究。结果显示,中国投资者普遍存在着过度自信,且这种心理偏差对其投资行为产生了明显影响;与美国等成熟证券市场不同,中国投资者过度自信程度在牛市和熊市中并没有统计上的显著差别。

An Empirical Study on the Overconfidence of Investors under the Overall Perspective

Overconfidence is a key hypothesis in behavioral finance.This paper researches into the presence of overconfidence in China's stock market by linear models estimated with feasible generalized least squares(FGLS),Granger causality test and exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model.The results show that overconfidence is prevalent among Chinese investors and this psychological bias has exerted prominent influences on the investment behavior of the investors;the difference between the level of overconfidence in bull and bear market is not statistically significant,which is different from the U.S.market.