Full-Text Search：
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Systems Engineering》 2007-09
Add to Favorite Get Latest Update

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

LIU Duan,CHEN Shou(College of Business Administration,Hunan University,Changsha 410082,China)  
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 capitalization,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.
【Fund】： 国家社会科学基金资助项目(05BJY010)
【CateGory Index】： F830.59;F224
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
【References】
Chinese Journal Full-text Database 3 Hits
1 WANG Chun-feng,ZHANG Ya-na,FANG Zhen-ming(School of Management,Tianjin University,Tianjin 300072,China);Research on the Overconfidence and the Driving Factors of the Trading Volume[J];Chinese Journal of Management Science;2010-04
2 Li Xuefeng,He Linze,Shen Ning;A Comparative Analysis on the Open Security Investment Fund and QFIIs[J];Securities Market Herald;2010-09
3 GONG Yun-hua JIANG Jin-chan;The Empirical Study of Investment Behavior and Market Volatility of China Privare Securities Investment Fund[J];Journal of Central University of Finance & Economics;2012-12
【Citations】
Chinese Journal Full-text Database 2 Hits
1 CHEN Yi-ling, SONG Feng-ming Tsinghua University, Beijing 100084, China;An empirical study on the relationship between price changes and trading volume in China stock market[J];JOURNAL OF MANEGEMENT SCIENCES IN CHINA;2000-02
2 WU Chong feng, WANG Cheng wei, WU Wen feng Financial Engineering Research Center of Shanghai Jiaotong University, Shanghai 200052, China;Trading volume and dynamic analytic method based on volume-driving prices[J];Journal of Manegement Sciences In China;2002-01
【Co-citations】
Chinese Journal Full-text Database 10 Hits
1 LI Yan, CAO Jinwen ( Remin University of China, Beijing 100872);A Study on Liquidity of China' s Government Bond Market[J];Finance & Trade Economics;2005-09
2 XU Yuan-dong LIU Shi-feng(Nanjing University of Aeronautics and Astronautics, Nanjing 210016);Newly Made Progress in the Study of Momentum[J];Finance and Trade Research;2007-01
3 ZHANG Bo,YIN Zhong-minSchool of Management,Xi'an University of Technology,Xi'an 710054,China;Empirical analysis of relationship between price and trading volume in Shanghai Securities Market[J];Journal of Dalian University of Technology(Social Sciences);2007-03
4 Li Fujun Da Qingli(College of Economics and Management, Southeast University, Nanjing 210096, China);Volatility between volume and price returns: evidence from Chinese stock markets[J];Journal of Southeast University (Natural Science Edition);2005-02
5 FU Yun ying 1, MENG Wei dong 1, CUI Di 2 (1.College of Business Administration, Chongqing University,Chongqing 400044,China; 2.Chongqing Changan-Forg Automabile Company,Chongqing 400072,China);Respond of Stock Trading Volume to Earning Report[J];Journal of Chongqing University(Natural Science Edition);2002-11
6 CHEN Wei-yun~(1),HUANG Man-hui()~(2),WU Yong()~(1)(1.Clollege of Economics and Business Administration, Chongqing University,Chongqing 400030,China;2.GuandongBusinessCollege,Guangzhou 510088,China);Empirical Analysis on Return Distribution and Price-volume of SZCI[J];Journal of Chongqing University(Natural Science Edition);2005-01
7 SONG Xue-feng (School of Management, China University of Mining and Technology,Xuzhou 221008, China);Survey and Prospect on the Science of Complexity[J];Complex Systems and Complexity Science;2005-01
8 WANG Yan-hui~1,WANG Kai-tao~2(1. School of Management School, Xi'an Jiaotong University, Xi'an 710049,China;2. Shanghai Branch, Shenzhen Development Bank,Shanghai 200122,China);An Analysis on Relations of Trading Volume and Returns[J];Systems Engineering;2005-01
9 XIAO Jun,CHEN Wei-zhong,WANG Yu-xi (School of Economics & Management, Tongji University, Shanghai 200092,China);An Empirical Research on Short-term Contrarian Strategy in the China Stock Market[J];Systems Engineering;2005-03
10 HUANG Fei-xue,MA Xiao-jia,HOU Tie-shan(Department of Economics,Dalian University of Technology,Dalian 116024,China);A Stock Price Plasticity Power Exponent Model Based on Material Distortion Theory[J];Systems Engineering;2008-04
China Proceedings of conference Full-text Database 2 Hits
1 GAO Yu- zhuo,ZHANG Hong-wei,LI Shuang-cheng (School of Managenent & Economics, Beijing Institute of Technology, BEIJING 100081, China; Hebei University of Economy and Trade,Shijiazhung 05000, China);Empirical Analysis of Price Volatility and Trading Volume in Chinese Stock Market[A];[C];2002
2 TIAN Da-wei, JIN Tai-yi (Shave and Future School, Shanghai University of Finance and Economics, Shanghai 200083 , China);The Relation between Equity Return and Trading Volume:A Survey Using Robust Approach[A];[C];2004
【Co-references】
Chinese Journal Full-text Database 10 Hits
1 ZHAO Yun-fei (Beijing University of Aeronautics and Astronautics ,Beijing 100083,China);Private Fund and Its Prospect in Chinese Security Market[J];Journal of Beijing University of Aeronautics and Astronautics(Social Sciences Edition);2002-01
2 LIU Ya-li,WANG Wei(School of Economics and Management University of Science and Technology Beijing 100083,China);Market Effect of Large Shareholders' Reduction and Its Determinants——A Study Based on Market Environment[J];Journal of University of Science and Technology Beijing(Social Sciences Edition);2010-02
3 Cheng Bing,Liang Heng-yi,XIAO Yu-gu (AMSS CAS,Peking 100080,China;Financial Risk and Engineer Research Center CAS,Peking 100080,China);Momentum and Contrarian Strategies in the Chinese Stock Markets[J];Research On Financial and Economic Issues;2004-08
4 LI Xue-feng,ZHANG Jian,MAO Yong-feng(Department of Finance,School of Economics,Nankai University,Tianjin 300071,China);A Comparative Research between the Behavior of Open-end Funds and QFII:An Empirical Analysis on Trading Strategy[J];Journal of Finance and Economics;2008-03
5 YU Honghai1,XU Longbing1,2 (1.School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China;2.Institute of Finance and Economics,Shanghai University of Finance and Economics,Shanghai 200433,China);Ultimate Control Right and Holding Reduction of Large Shareholders under Full Circulation[J];Journal of Finance and Economics;2010-01
6 HE Xue-hui,CHEN Zheng (The College of Finance,Hunan University,Changsha 410079,China);An Empirical Research on Stock Markets' Momentum Effect in Bull and Bear Markets[J];The Theory and Practice of Finance and Economics;2006-05
7 CHANG Jinxiong(Shanghai University of Finance and Economics,200433);Value of Non-tradable Shares,Consideration Ratio and the Return Release Shares' Sell[J];Finance & Trade Economics;2009-06
8 XIAO Kuixi YANG Yiqun (Management School, Zhejiang University, Hangzhou 310027);Performance Persistence of Openend Funds in China[J];Finance and Trade Research;2005-02
9 SHAO Xiao-yang, SU Jing-qin, YU Sheng-rui(School of Administration, Dalian University of Technology, Dalian 116024, China);An Empirical Research on the "Reversal Effect" and the "Momentum Effect" for Shanghai Stock Market[J];Geological Technoeconomic Management;2005-02
10 XUE FeiSchool of Economics, Fudan University, Shanghai 200433,China;The Theory of Overconfidence and Its Influence on Financial Markets[J];Geological Technoeconomic Management;2005-03
【Secondary References】
Chinese Journal Full-text Database 6 Hits
1 Zhou Zhengyi;Interaction between Institutional Investors' Behavior and Stock Prices of Corporations in Different Size——A short term Perspective[J];Shanghai Management Science;2012-01
2 Chen Riqing;Comparative Study on the Overconfident Behaviors of Institutional and Individual Investors[J];Review of Investment Studies;2011-12
3 ZHAO Peng-ju1,LIU Yu-min2(1.Zhongyuan University of Technology,Zhengzhou 450007,China;2.Business School,Zhengzhou University,Zhengzhou 450052,China);An Analysis on Stock Market Evolutionary Based on Birth-Death Process[J];Chinese Journal of Management Science;2011-03
4 Wu Weihua,Wan Difang,Cai Di;The Qualified Foreign Institutional Investors:Are They Investors or Speculators?[J];Securities Market Herald;2011-12
5 WU Ji-lin(The Center for Economic Research,Shandong University,Jinan 250100,China);Nonlinear Relationship of Tail Dependence between Price and Trading Volume in Chinese Stock Markets[J];Chinese Journal of Management Science;2012-05
6 REN De-ping~(1,3),GONG Xu~(2,3),WEN Feng-hua~2,YANG Xiao-guang~(3,4) (1.School of Business and Management,Hunan University,Changsha 410082,China; 2.School of Business,Central South University,Changsha 410082,China; 3.School of Economics and Management,Changsha University of Science and Technology,Changsha 410114,China; 4.Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China);Chinese Stock Investors' Disposition Effect Testing and Reference Price Choosing[J];Chinese Journal of Management Science;2013-03
【Secondary Citations】
Chinese Journal Full-text Database 4 Hits
1 WU Ru hai, SONG Feng ming School of Economics & Management, Tsinghua University, Beijing 100084;Empirical analysis on volume model under K+1 fund separation[J];JOURNAL OF MANEGEMENT SCIENCES IN CHINA;2000-01
2 CHEN Yi-ling, SONG Feng-ming Tsinghua University, Beijing 100084, China;An empirical study on the relationship between price changes and trading volume in China stock market[J];JOURNAL OF MANEGEMENT SCIENCES IN CHINA;2000-02
3 WU Chong feng, WU Wen feng (Aetna School of Management, Shanghai Jiaotong University, Shanghai 200052, China);An Analysis of Volume-Based Stock Price[J];Systems Enging-theory Methodology Application;2001-01
4 Zhang Wei Yan Jinan(School of Management, Tianjin University, 300072);Empirical Detection to the Volume Price Causality in Shanghai Securities Exchange[J];SYSTEMS ENGINEERING-THEORY & PRACTICE;1998-06
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved