我国证券市场过度反应后短期行为研究

Study on Short-term Behavior of Overreaction of Chinese Stock Market

本文通过平均收益率计算方法,系统地比较了沪市和深市短期过度反应行为及其后的累积超额收益率变化特征。本文的研究认为:当股票发生负向的异常波动时,沪深两市都表现出明显的过度反应现象,但是如果考虑交易成本,则累积超额收益没有经济意义;而在股票发生正向异常波动后,过度反应现象不显著;统计检验结果和回归模型结果都证明了我国证券市场不存在明显的"1月效应"或者"2月效应"(也称做"新年效应"),而是存在明显的"3月效应"和"12月效应"。股票在发生正向的异常波动时,沪深两市事件日的波动幅度与其后的累积超额收益的波动幅度没有明显的相关关系,而在发生负向的异常波动时,两市均在第5天后表现出明显的强相关特性。

This paper systematically compared A Share of Shanghai and Shenzhen in short-term behavior after overreaction using the data from Jan.1997to Oct,2003.The empirical study reveals that both Shanghai Stock Market and Shenzhen have overreaction in negative price shocks in short-term windows.But in positive price shocks there is only momentum effect.Our analysis highlights that there exists'March effects',not the common'January effects'.The regression results indicate that,for both Shanghai and Shenzhen,the cumulative abnormal returns are not always strongly related to the levels of the shocks.