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《Systems Engineering》 2007-09
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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
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