股价涨跌停与市场过度反应:实证分析  

Price Limit Closes and Market Overreaction: Evidence from China Stock Market

作　　者：徐龙炳 吴林祥[2] 

机构地区：[1]广发证券股份有限公司发展研究中心 [2]深圳证券交易所综合研究所

出　　处：《中国会计评论》2003年第0期179-190,共12页China Accounting Review

基　　金：国家自然科学基金(70273062)

摘　　要：在股价发生涨跌停时市场是否存在过度反应对于价格判断涨跌幅限制的作用具有重要意义。本文研究了我国A股股价、尤其是ST股价发生涨跌停时股票超额收益率的变化情况,发现在涨跌停后股价存在明显的反向修正,并且修正幅度与价格变化幅度显著成正比关系。本文据此认为,在发生涨跌停时,市场存在一定的过度反应。Whether the stock market overreacts when stock price closes at price limits is a question of practical importance for the evaluation of the effectiveness of the price limit system in China Stock Market. Using the event study method, this paper investigates the movement of cumulative abnormal returns (CARs) of A-shares when their price closes at price limits. We find not only that the subsequent CARs do experience a significant reversal, but also that the extent of reversal increases obviously as the CARs increase. So we conclude that China Stock Market overreacts when the stock prices close at price limits.

关 键 词：价格涨跌幅限制 过度反应 ST股票 

分 类 号：F832.51[经济管理—金融学]