恒生指数、B股指数和A股指数过度反应后短期行为分析

Analysis on Short-term Behavior after Overreaction of the HIS,B Share Index and A Share Index

本文通过平均收益率计算方法 ,系统地比较了恒生指数、B股指数和A股指数的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 :由于国内股市涨跌停板制度的实施 ,其波动程度已经小于香港股市。国内A、B股市场在发生正向激烈变化后 ,次日往往存在惯性上冲 ,但在第 2到第 3天存在过度反应现象 ;第 5天到第 10天存在明显的反抽 ,即与事件日方向相同的变化。国内股市在发生大幅下跌之后 ,无论哪个市场都有惯性的下跌动量存在 ,A、B股市场的异常波动存在一定程度的“隔年现象”。本文进一步的回归模拟发现 ,在上涨期间 ,香港股市发生异常波动后的第 1天、第 5天和第 10天的累积超额收益率和异常波动的幅度相关 ,B股和A股市场的第 1天和第 5天的累积超额收益率和异常波动幅度相关。而在下跌过程中 。

This paper systematically compared the HSI?B Share Index and A Share Index's short-term behavior After Overreaction using the data from Jan,1997 to Jun,2003 .The empirical study reveal that the volatility of B Share Index and A Share Index is lower than HSI does. Our analysis highlights that B Share Index and A Share Index exists overreaction in positive price shocks in short-term windows and larger single negative day shocks are followed by further price declines in the following trading days.There also exists 'year effects' in the above markets. The regression results indicate that,for both HSI and B or A share index,the cumulative abnormal returns are not always strongly related to the levels of the shocks.