Extrapolative Bubbles and Trading Volume

• 成果类型: Article
• 署名作者: Liao, Jingchi; Peng, Cameron; Zhu, Ning
• 署名单位: Shenzhen Stock Exchange (SZSE); University of London; London School Economics & Political Science; Shanghai Jiao Tong University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab070
• 发表日期: 2022
• 页码: 1682
• 关键词: INVESTORS TRADE; MODEL; overconfidence; BEHAVIOR; prices; MARKET

摘要

We propose an extrapolative model of bubbles to explain the sharp rise in prices and volume observed in historical financial bubbles. The model generates a novel mechanism for volume: because of the interaction between extrapolative beliefs and disposition effects, investors are quick to not only buy assets with positive past returns but also sell them if good returns continue. Using account-level transaction data on the 2014-2015 Chinese stock market bubble, we test and confirm the model's predictions about trading volume. We quantify the magnitude of the proposed mechanism and show that it can increase trading volume by another 30%.