Earticle

초록

영어

The overconfidence hypothesis put forward by Gervais and Odean (2001) predicts that if investors are overconfident, they trade more aggressively subsequent to market gains. To gain further insight into the hypothesis, we examine whether both U.S. and domestic market gains make Asian investors trade more aggressively in subsequent periods in their domestic markets. Consistent with the predictions of the theory, we find that both U.S. and domestic market gains make Asian investors trade with more overconfidence in bull markets, in periods of high investor sentiment, and in periods of extremely high market returns after controlling for the alternative theories in explaining the return-volume relation. Moreover, we find that further integration of Asian stock markets with U.S. stock markets after the Asian financial crisis in 1998 is an important reason for Asian investors’ response to U.S. market gains by trading with overconfidence. We also find that Asian investors exhibit more significant overconfident trading behavior in markets with a short-sale constraint than in markets without it.

목차

Abstract
 1. Introduction
 2. Data and Detrending Trading Volume Series
  2.1 Data
  2.2 Detrending Trading Volume Series
  2.3 Summary Statistics
 3. Alternative Theories on the Return-Volume Relation and Test Results
  3.1 Alternative Theories
  3.2 Empirical Frameworks and Test Results
 4. Empirical Frameworks and Test Results of Asian Investors’ Overconfident Trading Behavior
  4.1 Overconfident Trading across Asian Stock Markets
  4.2 The Effect of Market Integration
  4.3 The Impact of U.S. Investor Sentiment on Asian Investors’ Trading
  4.4 The Impact of Domestic Investor Sentiment on Asian Investors’ Trading
  4.5 Asian Investors’ Overconfident Trading Conditional on Market Conditions
  4.6 Asian Investors’ Overconfident Trading Conditional on Extremely High Market Returns
  4.7 Robustness Checks
 5. Concluding Remarks
 References
 TABLE

키워드

저자

• Wen-I Chuang [ Department of Finance, College of Management, National Taiwan University ] Corresponding author
• Bong-Soo Lee [ Department of Finance, College of Business, Florida State University ]
• Kai-Li Wang [ Department of Finance, College of Management, Tunghai University ]

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