我国股票市场的过度反应现象及其成因分析  

Overreaction Phenomenon and its Causes in Chinese Stock Market: Empirical Research on Shanghai Stock Market

作　　者：陈国进[1] 范长平[2] 

机构地区：[1]厦门大学王亚南经济研究院,361005 [2]厦门大学金融系,361005

出　　处：《南开经济研究》2006年第3期42-53,共12页Nankai Economic Studies

基　　金：国家社科基金(批准号:04BJL026);教育部人文社科基地重大项目(批准号:05JJD790026);厦门大学育题基金

摘　　要：本文采用1997-2004年上海证券交易所的所有股票交易数据,对我国股票市场的过度反应及其成因进行实证分析。研究结果表明,我国股票市场的确存在过度反应现象,其形成期为两年;过度反应的主要成因是规模效应,而非月历效应。The paper analyzes empirically the overreaction phenomenon and its causes in Chinese stock market with the data of Shanghai stock exchange during the period of 1997-2004. We find that there is the overreaction phenomenon which lasts two years in our stock market and that size effect rather than monthly effect should be responsible for the apparent overreaction phenomenon.

关 键 词：过度反应 规模效应 月历效应 

分 类 号：F832.5[经济管理—金融学]