主板、中小板和创业板反应过度与反应不足现象实证研究

发布时间：2018-04-25 06:26

本文选题：反应过度 + 反应不足　；参考：《复旦大学》2014年硕士论文

【摘要】：行为金融学认为,市场并非如有效市场假说所描述的那么有效,人也并非是完全理性的,由于信息不足、认知能力有限、过度自信等因素,股市中通常存在两种异常的股价反应现象：反应过度和反应不足。本文对主板、中小板和创业板的月度交易数据进行了反应过度和反应不足现象的实证检验,并且进行了横向和纵向的比较,发现总体上看主板、中小板和创业板三大板块都表现出了一定程度的反转效应,尤其在短期内(1个月或者2个月)存在着显著的反应过度现象；同时在考虑了市场风险因素之后反应过度现象仍然显著存在,这进一步验证了短期内存在过度反应现象。另外本文并没有发现三大板块存在明显的动量效应以及反应不足现象。从三个板块市场的横向对比来看,中小板反应过度现象最为明显,尤其在短期内显著存在,有一定的“强者不强、弱者不弱”的收益特性；创业板市场短期的反应过度现象也较为明显,总体呈献出“强者不强、弱者较弱”的收益特性；而以上证180为代表的主板市场的反应过度现象较其他两个板块并不明显,更加接近Fama的有效市场假说,并且表现出“强者较强、弱者不弱”的收益特性。同时,从时间维度的角度看,随着组合形成期和检验期的延长,反应过度现象趋于减弱,反转投资策略的正收益在统计上的显著性趋于降低。
[Abstract]:Behavioral finance believes that the market is not as efficient as the efficient market hypothesis describes, and that people are not completely rational, due to insufficient information, limited cognitive ability, overconfidence and other factors. There are usually two abnormal stock price reactions in the stock market: overreaction and underreaction. In this paper, the monthly transaction data of the main board, the small and medium-sized board and the growth enterprise board are tested by the empirical test of overreaction and underreaction, and the horizontal and vertical comparisons are made, and it is found that the main board is seen as a whole. Both the small and medium board and the growth enterprise board showed a certain degree of reversal effect, especially in the short term (1 or 2 months) there was a significant overreaction phenomenon; At the same time, after considering the market risk factors, overreaction still exists, which further verifies the existence of overreaction in the short term. In addition, there is no obvious momentum effect and insufficient reaction in the three plates. From the horizontal comparison of the three plate markets, the overreaction of small and medium-sized plates is the most obvious phenomenon, especially in the short term, there is a significant existence, there is a certain "strong not strong, weak is not weak" income characteristics; The short-term overreaction phenomenon in the gem market is also more obvious, presenting the income characteristics of "the strong are not strong, the weak are weak" as a whole, while the main board market represented by Shanghai Stock Exchange 180 is less obvious than the other two plates. It is closer to the efficient market hypothesis of Fama and shows the characteristics of "the strong are stronger, the weak are not weak". At the same time, from the point of view of time dimension, with the extension of combination formation period and test period, overreaction tends to weaken, and the positive return of reverse investment strategy tends to decrease statistically.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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