中国证券市场过度反应非对称性研究  

Study on Asymmetry of Overreaction in China’s Security Markets

作　　者：赵振全[1] 丁志国[1] 苏治[1] 

机构地区：[1]吉林大学数量经济研究中心,吉林长春130012

出　　处：《吉林大学社会科学学报》2005年第4期158-165,共8页Jilin University Journal Social Sciences Edition

基　　金：国家自然科学基金项目(70173043);教育部人文社会科学重点项目(02JAZ790005);教育部人文社会科学重点研究基地重大项目(02JAZJD790007)

摘　　要：过度反应作为行为金融学的重要命题和“反转交易策略”的理论基础,由DeBondt和Thaler提出,引起了学术界的广泛关注,并对市场有效理论构成了严峻的挑战。我国学者针对中国证券市场是否存在过度反应进行了大量实证检验,所得出的结论却存在着较大的分歧。我们认为分歧主要源自对超常收益率度量方法的差异和数据选取的敏感性。实证分析表明中国证券市场在长期上存在过度反应,但是不具有对称性;在短期上输家组合存在过度反应,而赢家组合则表现为反应不足;拒绝中国市场弱式有效假设。As a very important issue of behavioral finance and theoretical foundation of ontrarian strategy in security markets, Overreaction Hypothesis (ORH) continues to stimulate both insight and controversy, since it was addressed by De Bondt and Thaler in 1985, and stands in contradiction to the Efficient Market Hypothesis (EMH). Some work has been done relevant to empirical study of ORH in China. However, the results drawn out were far away from each other. This paper stated that the difference resulted from sensitivity of methods and data chosen. The results of this paper illustrated that long-term security markets overreacted and was asymmetric in China during 1996—2003, short-term returns of loser portfolio had reversal and winner portfolio underreacted. Thus, weak-form efficient hypothesis could not be accepted in China.

关 键 词：证郑市场 过渡反应 累积超常收益率 非对称性 

分 类 号：F832.51[经济管理—金融学]