股票市场领先滞后效应的研究综述

作为现代金融经济学的核心理论之一,有效市场理论一直占据着主导地位。然而,近些年来,传统金融理论在解释股票市场中的收益行为时遇到了不少困惑,对现实市场中出现的许多与有效市场理论相悖的股市异象难以做出合理的解释。股票间的领先滞后关系是股票市场的众多异常现象中的典型之一。本文通过阅读大量的相关文献,综述了国内外学者从不同角度研究的股票市场领先滞后效应的研究结果以及对该效应产生原因的分析。

Summary of the Lead-lag Effect of the Stock Market

As one of the modern financial economics core theories, the efficient market theory has occupied a dominant position. However, in recent years, traditional finance theory encounters a lot of confusions in explaining the behavior of the gains in stock market. The efficient market theory is difficult to make a reasonable explanation of the stock market anomalies. Lead-lag effect between stocks in the stock market is one of the typical anomalies. By reading a lot of related literatures, this article gives a ge...