我国股票市场行为及其影响因素分析  

A Study on Stock Market Behavior and its Relative Factors in China

作　　者：吴世农[1] 钟卓[1] 

机构地区：[1]厦门大学,厦门361005

出　　处：《上海立信会计学院学报》2005年第6期10-15,共6页Journal of Shanghai Lixin University of Commerce

摘　　要：文章以2000年1月4日至2001年1月2日间在上海证券交易所A股市场交易的股票为样本,借鉴Debondt和Thaler(1985)的研究方法,发现我国股票市场存在明显的“反转趋势”,同时采用多元回归模型,分析影响反转趋势的主要因素,发现影响我国赢家组合和输家组合CAR反转的主要因素有形成期的CAR、换手率和公司资产规模。最后,作者从心理学和我国股票市场的制度背景探讨这种反转趋势的心理成因和制度成因。The authors take a sample of A-shares from Shanghai Stock Market from January 2000 to January 2001 and make the use of research methodology proposed by Debondt and Thaler（1985）to study behavior of Shanghai Stock Market. They find that there exists a significant reverse trend in the market. With a regression analysis for factors related to the reverse trend, They also find that the CAR of the formulation period, turn-over ratio, and firm＇s total asset affect the reverse trends on both winning portfolio and lose portfolio Finally, the authors explain the reverse trend with psychological behavior and China＇s institutional context.

关 键 词：行为金融 市场反应 反转趋势 中国股市 

分 类 号：F830.91[经济管理—金融学]