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中文摘要：
本文探讨了投资者过度自信假说能否解释我国A股市场波动性与个股波动性。结果显示：（1）投资者过度自信行为所产生的市场超额交易量能够解释市场波动性;（2）大部分个股其超额交易量能够由投资者过度自信行为解释,其中又有38.2%的个股其波动性可由投资者过度自信行为解释,并且这些个股具有小市值、低换手率、低机构持股比特征;（3）过度自信投资者承担了过多的风险,但是与理性投资者一样充分理解了市场上公开的财务信息。
英文摘要：
This paper investigates whether investors＇ overconfidence hypothesis can explain the market volatility and individual stock volatility in Chinese A Share Market （CASM）. The conclusions are： （1） The market excess turnover caused by overconfi- dent investors has positive effect on market volatility; （2） The excess turnover of the majority of CASM stocks can explained by investors＇ overconfidence, and 38.2% of above mentioned stocks whose return volatilities can also be explained by investors ＇ overconfidence. And those stocks are small-cap, lower turnover and lower institutional shareholding ratio shares; （3） Overcon- fidence investors take on too much risk, but they don＇t misunderstand the listed companies＇ financial information.
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