| 我国股票市场的过度反应现象及其成因分析 |
| |
| 引用本文： | 陈国进,范长平.我国股票市场的过度反应现象及其成因分析[J].南开经济研究,2006(3):42-53. |
| |
| 作者姓名： | 陈国进 范长平 |
| |
| 作者单位： | 1. 厦门大学王亚南经济研究院,361005
2. 厦门大学金融系,361005 |
| |
| 基金项目： | 国家社会科学基金;教育部人文社会科学重点研究基地项目 |
| |
| 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。
|
| 关 键 词： | 过度反应 规模效应 月历效应 |
Overreaction Phenomenon and its Causes in Chinese Stock Market:Empirical Research on Shanghai Stock Market |
| |
| Chen Guojin,Fan Changping.Overreaction Phenomenon and its Causes in Chinese Stock Market:Empirical Research on Shanghai Stock Market[J].Nankai Economic Studies,2006(3):42-53. |
| |
| Authors: | Chen Guojin Fan Changping |
| |
| Institution: | 1. The Wang Yanan Institute for Studies in Economics, Xiamen University, 361005 ; 2.Department of Financial,Xiamen University, 361005 |
| |
| Abstract: | 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. |
| |
| Keywords: | Overreaction Size Effect Monthly Effect |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
