投资者过度信心与处置效应对交易的驱动作用研究

采用向量自回归方法（VaR）和脉冲一响应函数研究交易量与股票收益之间的跨期交互作用，并对股票的流通规模进行分类，深入分析交易行为的驱动因素及其驱动作用。研究发现无论是个股收益还是市场收益受到冲击后，都会经股票市场传递给交易活动，从而给股票交易量带来同向的冲击，且这一冲击具有显著的促进作用和一定持续效应，说明投资者处置效应和过度信心在交易驱动中均产生了影响。它们对小盘股的交易驱动比大盘股更明显，但是持续效应会略弱。过度信心对交易驱动的规模效应不及处置效应大。

Empirical Research on the Impacts of Investor''''s Overconfidence and Disposition Effects on Driving Trading

This paper uses a vector autoregressive and impulse-response function methodology to investigate the intertemporal interaction of trading volume and stock return, and classifies samples according to their market capltalization, in order to test how trading activities are driven. The research indicates that the shocks of both individual firm return and market wide return are transferred to trading activities, and bring the shock of same direct to stock trading volume, and this shock has significantly positive effect and sustained function. This suggests that overconfidence and disposition effect are both important factors in driving trading activities. They are more obvious in driving trading of smaller market capitalization stock, but last shorter time. And the effect degree of overconfidence in driving trading is smaller than that of disposition effect.