我国创业板市场过度反应的实证研究

本文以深圳创业板市场为研究对象,分析创业板市场是否存在过度反应的现象。研究结果表明,深圳创业板市场总体表现出"强者反转,弱者恒弱"的特点,说明我国投资者的理性程度与传统金融理论中的理性人假设相距甚远,需要通过加强投资者资质限制等手段优化投资者结构、提高投资者总体的理性水平,以达到稳定市场的目的。

Empirical Study on Overreaction of GEM market

We use empirical method to investigate whether the phenomenon of overreaction exists in Shenzhen GEM market.The result shows that: Shenzhen GEM market appears that the winners’ price reverses,but the losers’ maintains the same.This feature suggests that as the rationality level of investors in China is far away from the hypothesis of standard economic theory;Shenzhen market should limit the qualification of investors in order to optimize the structure of investors,so that the general rationality level can improve so as to stabilize the market.