An Experimental Study of Overreaction Phenomenon in Chinese Stock Market

被引：0
|
作者：
Liu Yanping [1 ]
Yang Tianqi [1 ]
Suo Yuan [2 ]
机构：
[1] Dalian Univ Technol, Fac Econ & Management, Dalian 116024, Peoples R China
[2] Dalian 16 Middle Sch, Dalian 116001, Peoples R China
来源：
PROCEEDINGS OF THE 8TH (2016) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT | 2016年
关键词：
market efficiency; stock returns formatting; overreaction; underreaction; shanghai stock exchange;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
According to the method of De Bondt and Thaler, we investigate whether the Chinese stock market exhibits overreaction phenomenon. For our empirical study, we use monthly closing prices of the shanghai stock exchange's A-shares from January 2005 to December 2015. Empirically we find the Chinese stock market does exhibit overreaction, and the magnitude effect in the overreaction phenomenon is favourable to the longer formation/holding periods.
引用
收藏
页码：57 / 62
页数：6
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