不同市场态势下股票市场的非对称反应——基于中国上证股市的实证分析  

A Study on the Asymmetric Reactions of Stock Market During Bull and Bear Phases:Evidence from Shanghai Stock Exchange

作　　者：何兴强[1] 李涛[2] 

机构地区：[1]中山大学岭南学院,广州510275 [2]中国人民大学财政金融学院,北京100872

出　　处：《金融研究》2007年第08A期131-140,共10页Journal of Financial Research

基　　金：国家自然科学基金(70471018);广东省普通高校人文社会科学十五规划基地重点项目(06JDXM790001);高等学校全国优秀博士学位论文作者专项资金(200267)和(200504)。

摘　　要：本文以上证股市为例,首次同时考察不同市场态势下收益和波动的非对称反应,发现牛、熊态势下股市收益的均值回归特征差异明显,理性预期假设不成立:牛市阶段负收益均值回归的速度和幅度更大、呈反转趋势。正收益则具有一定持续性;熊市阶段正负收益均呈反转趋势,其中正收益反转趋势更明显;牛、熊市阶段股市对"坏消息"都反应过度,牛市阶段市场对"好消息"反应不足,熊市阶段市场对"好消息"比对"坏消息"的过度反应更明显。Using Shanghai Stock Exchange as an example, the paper investigates the asymmetric reactions of stock market returns and volatility to ＂good＂ and ＂bad＂ news during bull and bear phases. We find that there exist notable differences in the mean-reverting patterns between bull and bear phases, and the time-varying rational expectation hypothesis does not hold. During bull phases ,negative returns on average revert more quickly ,with a greater reverting magnitude,to positive returns. Negative returns tend to revert immediately,while positive returns display some sort of persistence. Whereas ,during bear phases ,both positive and negative returns tend to revert immediately, and positive returns on average revert more quickly ,with a greater reverting magnitude,to negative returns. In addition ,the market overreacts to ＂bad＂ news during both bull and bear phases. During bull phases, the market underreacts to ＂good＂ news,and the market overreacts more notably to ＂good＂ news than to ＂bad＂ news during bear phases.

关 键 词：非对称均值回归 牛市 熊市 过度反应 

分 类 号：F832.51[经济管理—金融学] F224