| 中国股市过度自信与市场质量实证研究 |
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| 引用本文： | 张颖洁,张亚楠.中国股市过度自信与市场质量实证研究[J].西安电子科技大学学报(社会科学版),2010,20(6):45-50. |
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| 作者姓名： | 张颖洁 张亚楠 |
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| 作者单位： | 天津大学管理与经济学部,天津300072 |
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| 摘 要： | 利用市场指数的高频数据构建市场质量指标体系,通过实证方法综合考察了我国股市中过度自信效应对市场质量的核心要素——波动性、流动性和市场效率的影响。实证结果表明,我国股市中,过度自信从交易活跃程度和市场深度两个方面提高了市场流动性,但同时也引起市场波动的增加,而过度自信对市场效率并无明显影响。
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| 关 键 词： | 过度自信 市场质量 流动性 波动性 市场效率 |
Empirical Study on Overconfidence and Market Quality in Chinese Stock Market |
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| ZHANG YINGJIE,ZHANG YANAN.Empirical Study on Overconfidence and Market Quality in Chinese Stock Market[J].Journal of Xidian University (Social Sciences Edition),2010,20(6):45-50. |
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| Authors: | ZHANG YINGJIE ZHANG YANAN |
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| Institution: | (School of Management and Economics,Tianjin University,Tianjin,300072,China) |
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| Abstract: | Using high-frequency data of market index,the indicator system of market quality was constructed including volatility,liquidity and market efficiency.Then an analysis is made to examine the effect of overconfidence on market quality in Chinese stock market.It was found that overconfidence improved market liquidity including trading activity and market depth.Meanwhile,it increased market volatility.It also showed that overconfidence had no significant influence on market efficiency. |
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| Keywords: | Overconfidence Market quality Liquidity Volatility Market efficiency |
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