过度反应对称周期研究——国际证券市场实证

Study on horizon of overreaction:Evidences in international markets

过度反应作为行为金融学的重要命题,对有效市场假说提出了严峻的挑战.国内外学者的研究主要是针对证券市场是否存在过度反应进行的实证检验.文章引入了反转系数(rever-sal coefficient),定量地分析不同证券市场过度反应的对称周期性特点.证券市场过度反应的对称周期由长到短依次为:中国市场、日本市场、英国市场和美国市场,进而比较了不同市场对极端坏信息反映效率的差异.

As a very important issue in behavioral finance, Overreaction Hypothesis （ORH） stands in contradiction to the Efficient Market Hypothesis （EMH）. This paper employed the Reversal Coefficient, which could be used to compare efficiency in different security markets. The results illustrated that the horizon of overreaction was the longest in China＇ s security market whereas the shortest in US＇ s and UK＇ s markets and the second longest in Japan＇s market.