摘要
本文采用1997-2004年上海证券交易所的所有股票交易数据,对我国股票市场的过度反应及其成因进行实证分析。研究结果表明,我国股票市场的确存在过度反应现象,其形成期为两年;过度反应的主要成因是规模效应,而非月历效应。
The paper analyzes empirically the overreaction phenomenon and its causes in Chinese stock market with the data of Shanghai stock exchange during the period of 1997-2004. We find that there is the overreaction phenomenon which lasts two years in our stock market and that size effect rather than monthly effect should be responsible for the apparent overreaction phenomenon.
出处
《南开经济研究》
CSSCI
北大核心
2006年第3期42-53,共12页
Nankai Economic Studies
基金
国家社科基金(批准号:04BJL026)
教育部人文社科基地重大项目(批准号:05JJD790026)
厦门大学育题基金
