信息传递模式、投资者心理偏差与股价“同涨同跌”现象

发布时间：2018-05-02 17:59

本文选题：股价同步性 + 信息传递模式　；参考：《经济研究》2011年04期

【摘要】：股价"同涨同跌"又称"股价同步性",是世界各国证券市场发展过程中的一种普遍现象,也是近年来财务学的研究热点和前沿课题。本文收集1994—2004年中国股市的相关数据,用R2度量股价同步性,对股票收益的"惯性"和"反转"与R2之间的关系进行系统的实证检验和理论分析。研究发现:(1)总体上,我国股市不存在"惯性"现象,而存在显著"反转"现象,并且反转效应随着R2的上升而逐渐减弱,两者呈负相关关系;(2)不同市场态势下惯性和反转的表现形式不同,且与R2的关系也不同:牛市阶段存在"反转"现象,且R2越高反转越明显;在熊市阶段存在"惯性"现象,且R2越小惯性越明显,说明不同市场态势下股价同步性的生成机理不同。对此,作者提出了一种基于信息与心理行为互动关系的新解释,丰富并完善了股价同步性形成机理的理论研究。
[Abstract]:The share price "share and fall" is also called "share price synchronism". It is a common phenomenon in the development process of the securities market of all countries in the world. It is also a hot topic in the study of Finance in recent years. This paper collects the related data of Chinese stock market from 1994 to 2004, uses R2 to measure the synchronicity of stock price, and the relationship between "inertia" and "reversal" and R2 between stock returns. The systematic empirical test and theoretical analysis show that: (1) on the whole, there is no "inertia" phenomenon in China's stock market, and there is a significant "reversal" phenomenon, and the reversal effect gradually decreases with the rise of R2, and there is a negative correlation between them. (2) there are different forms of inertia and reversal in different market situation, and the relationship with R2 is also not. There is a "reversal" phenomenon in the stage of the bull market, and the higher the R2 is, the more obvious the reversal is. There is a "inertia" phenomenon in the bear market, and the smaller the inertia is, the more obvious the generation mechanism of stock price synchronization is different under the different market situation. The author puts forward a new explanation based on the interaction relationship between information and psychological behavior, enriching and perfecting the share price. The theoretical study of the mechanism of step formation.

【作者单位】：中国人民大学商学院;厦门大学管理学院;北京大学光华管理学院;中山大学岭南学院;
【基金】：国家自然科学基金项目(批准号:70802002,70932002)的资助
【分类号】：F832.51;F224

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