深圳证券市场中长期价格反转现象的实证研究

Positive Research on Semi-term and Long-term ReversalPhenomenon of Shenzhen Stock Market

有效市场假说随着时代的发展逐渐受到质疑,众多学者从理论与实证角度的论证中发现,证券市场并非那么有效。本文以深圳证券市场价格反转现象为研究对象,通过实证检验发现,深圳证券市场也存在有效市场假说所谓的"异象"—价格反转现象。

Recently, there are so many anomalies found in the real stock market that a lot of researchers start to suspect of EMH(Efficiewt Market Hypothesis). From the late 1980s to 1990s, the increasingly active behavioral finance theory developed in attacking on EMH with theoretical and empirical methods. This paper investigates whether there is semi-term and long-term reversal phenomenon of stock price in Shenzhen stock market.