重大事件下我国上证A股市场的短期过度反应研究  

Short-term Overreaction of China’s SSE A-share Market under Major Events

作　　者：宋博 张洁 Song Bo;Zhang Jie

机构地区：[1]深圳大学经济学院风险管理与保险系

出　　处：《数量经济研究》2019年第4期157-170,共14页The Journal of Quantitative Economics

基　　金：教育部哲学社会科学研究重大课题攻关项目“资本市场的系统性风险测度与防范体系构建研究”(17JZD016)的资助

摘　　要：大量研究表明投资者的交易行为易受到投资者心理因素的影响,然而研究市场在重大事件下的短期过度反应现象的文献并不多见。本文提出动态VaR模型,为挑选事件日提供了一种新方法。基于事件研究法,探究了我国上证A股市场在重大事件发生后21个交易日内的短期过度反应现象。研究发现,我国上证A股市场在重大事件冲击下表现出明显的短期过度反应现象,其中赢者组合的过度反应程度强于输者组合,市场在重大利空事件下的短期过度反应程度远强于整个事件样本下的情形。此外,这种短期过度反应行为具有明显的非对称性,股市在重大利空事件下的短期过度反应程度强于重大利好事件下的情形。最后,通过构建Fama五因素模型对股市短期过度反应现象的成因进行分析,研究表明风险因子的改变不是市场短期过度反应的主要原因,但会影响短期过度反应的激烈程度。A large number of studies have shown that investors’ trading behaviors are susceptible to investor psychological factors.However,there are few literatures to study the short-term overreaction of the market under the major events.In this paper,a dynamic VaR model is proposed,which provides a new method for selecting event days.Based on the event study method,this paper explores the short-term overreaction of China’s SSE A-share market within 21 trading days after the major events.It is found that China’s SSE A-share market showed obvious short-term overreaction under the impact of the major events,in which the overreaction degree of the winner’s portfolio is stronger than that of the loser’s portfolio.The degree of short-term overreaction of the market under the major negative events is much stronger than that under the whole event sample.In addition,this short-term overreaction behavior has obvious asymmetry,and the degree of short-term overreaction of the stock market under the major negative events is stronger than that under the major positive events.Finally,by building the five-factor model to analyze the causes of short-term overreaction in the stock market,the study shows that the change of risk factors is not the main cause of short-term overreaction in the market,but it will affect the degree of short-term overreaction.

关 键 词：动态VaR模型 事件研究法 过度反应 五因素模型 

分 类 号：F832.5[经济管理—金融学]