信息可靠度、过度自信对股票市场的影响——基于实验经济学的研究

摘要

信息对股票市场的影响不仅取决于信息本身,还取决于个体投资者对信息的感知.文章基于实验经济学研究方法,构造实验室股票交易市场,引入不同可靠度的股评信息,观察个体过度自信水平,研究客观股评信息可靠度和主观过度自信对股票市场的交叉影响.研究结果表明相对于没有股评信息的控制组,高可靠度和低可靠度的股评信息实验组均表现出显著更低的市场价格泡沫,且股评信息可靠度越高,市场价格越趋近于理性水平;此外,市场交易活跃程度在有股评信息的组显著高于控制组,但高低可靠度两组的交易活跃程度并无显著差异.在引入过度自信和信息可靠度的交叉项后,文章发现仅在高可靠度的股评信息实验组中,过度自信表现出对泡沫和交易活跃程度显著的正向影响.这意味着高过度自信的个体更加倾向于相信自己的私人信息,而忽略外界高可靠度的信息,从而相对于理性情况而言,交易行为出现更大的偏差,产生更大的泡沫.%This paper investigated the effect of information reliability and traders' overconfidence on stock markets.We setup two types of experimental stock markets with different reliability of stock comment information.The results showed that both high reliability and low reliability stock comment information led to a significant reduction in bubble and trading activities compared with the control treatment.What's more, the higher reliability of stock comment information, the lower bubble. However, there is no difference in trading activities between high reliability and low reliability information treatments.Only in the high reliability of stock comment information treatment, overconfidence showed a significant positive impact on bubble and trading activities,which meant that individuals with high level of overconfidence were more likely to believe their private information and neglected public information with high reliability so that they would generated more bubbles.