关于中国股市过度反应和反应不足现象的实证研究

发布时间：2018-06-09 11:08

本文选题：反应过度 + 反应不足　；参考：《复旦大学》2012年硕士论文

【摘要】：传统金融学理论认为市场是有效的,在一个有效的金融市场中,证券的价格反应了全部的信息。但是,Fama所提出的有效市场存在其固有的内在缺陷,并且现在金融市场中又发现了诸多违背有效市场假说的异象。这使得EMH受到众多学者的质疑。行为金融学理论就是在对传统金融学理论进行反思,以及对金融市场异象的解释中发展起来的。DeBondt和Thaler是行为金融学研究的先驱,他们所提出的反应过度和反应不足的概念,引起了学术界的研究热潮。国外有关反应过度的研究已经基本达成了共识,多数学者认为,市场确实存在反应过度的现象。然后,国内在这一领域的研究不仅落后于国外,而且研究的结论也存在差异。本文运用DeBondt和Thaler的研究方法,选取我国上海和深圳两大证券市场的股票交易数据,通过构建输家组合和赢家组合进行分析。研究的结果表明,在我国金融市场,反应过度和反应不足的特征存在于不同的时期,并且反应过度和反应不足的转变与市场指数的波动存在相关关系。在我国市场上,投资者单纯使用反转策略或者惯性策略都不能持续的获取高收益。如果根据市场指数的波动情况,相机选择反转或者惯性策略,却能够成为投资者很好的选择。
[Abstract]:The traditional theory of finance holds that the market is efficient. In an efficient financial market, the price of securities reflects all the information. However, the efficient market proposed by Fama has its inherent defects, and many anomalies contrary to the efficient market hypothesis have been found in the financial market. As a result, EMH has been questioned by many scholars. Behavioral finance theory is a pioneer in behavioral finance, which is a reflection of the traditional financial theory and the explanation of financial market anomalies. Their concepts of overreaction and underreaction have aroused a research boom in academia. Most scholars believe that overreaction exists in the market. Then, the domestic research in this field not only lags behind the foreign countries, but also has different conclusions. This paper uses DeBondt and Thaler's research method to select the stock trading data of Shanghai and Shenzhen stock markets. Through the construction of loser combination and winner combination to analyze. The results show that the characteristics of overreaction and underreaction exist in different periods in China's financial market, and the changes of overreaction and underreaction are related to the volatility of market index. In our country, investors can not achieve high returns only by reverse strategy or inertia strategy. Depending on the volatility of the market index, the camera can choose a reversal or inertia strategy, but it can be a good choice for investors.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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