摘要
价格对信息调整的速度提供了一种直接衡量金融市场反应不足或反应过度的程度,进而检验市场有效性的方法。运用一种更优的价格调整速度的估计量,对我国股票市场进行了实证研究,发现股票价格对信息的调整是一个剧烈振荡的过程,信息得以完全调整需要12天,而在更长时间间隔内市场并未表现出反应过度,短期内小盘股对信息的调整速度快于大盘股。
Speed of adjustment of stock prices towards information will provide a directive measure of the degrees of under and overreaction in financial markets. This paper uses a better estimator of price adjustment coefficients to make an empirical research on Chinese stock market. We find it is a process of vibration for prices adjust to information and 12 days are needed for full adjustment. No evidence of overreaction at longer intervals is found but small capitalization stock speeds of adjustment are found to be higher than large capitalization stocks at short intervals.
出处
《系统工程理论方法应用》
北大核心
2005年第1期17-22,共6页
Systems Engineering Theory·Methodology·Applications
基金
教育部优秀青年教师资助计划项目(教人司[2003]355号)
关键词
信息
价格调整系数
反应不足
反应过度
市场有效性
information
price adjustment coefficients
underreaction
overreaction
market efficiency
