Abstract: Based on the hypothesis of state dependent over confidence and information structure,atheoretical model that researches the relationship between pastreturn and trading volume from the view of information flow mechanism and microm echanism is presented.The following two hypotheses drew from the theoretical conclutions are the significant positive impact of the private information shock on the trading volume and a positive correlation between the pastreturn and the trading volume.Then,based on China stock market,the empirical test makes the same conclusions,which supports model.

Key words: overconfidence, information structure, pastreturn, trading volume