【作者】 范长平；

【导师】 陈国进；

【作者基本信息】 厦门大学 ， 金融学， 2007， 硕士

【摘要】 随着股票市场异常现象的不断涌现,传统金融理论对此无法做出合理的解释,行为金融理论开始迅速发展。1985年DeBondt与Thaler发表了《股票市场过度反应了么?》,得出美国股票市场存在过度反应现象,揭开了行为金融与传统金融的相互斗争与融合发展的序幕。目前,行为金融学成为各国学者研究的一个热点和难点。本文归纳和分析了国内相关研究的特点,在此基础上,选取1997—2004年上海证券交易所的所有股票交易数据,对中国股票市场过度反应进行实证检验;总共8年的数据,时间跨度相对较长,样本股票数量足够多:而且可以构成完整独立的形成期和检验期,实证结果更加准确。同时,利用Zarowin的研究方法,对过度反应的成因进行了实证分析,找出了影响中国股票市场过度反应现象的原因。研究结果表明,中国股票市场的确存在过度反应现象,其形成期为2年;通过实证检验,发现过度反应的主要成因是规模效应,而非月历效应。从而,对中国行为金融研究与发展起到了积极的作用。本文从以下四个部分展开研究:第一部分对相关理论进行了概括性总结。主要是对行为金融学的产生背景、发展历史进行了综述,同时也对过度反应现象的研究现状进行了文献综述。第二部分实证检验了中国股票市场的过度反应现象。第三部分分析了中国股票市场过度反应现象的成因,并作出了实证检验。最后给出了本文的结论与政策性建议。更多还原

【Abstract】 With the discovering of the stock market abnormal phenomena, the classical financial theory couldn’t give the reasonable explanations, so that the behavioral finance developed fast. In 1985, DeBondt and Thaler finished the paper—"Does the stock market overreact?". They concluded there was the overreaction phenomenon in USA stock market. Now the behavioral finance has become the importtant and difficult staff in this field.In this paper, we conclude and analyze the characteristic of the relative research. First of all, we empirically analyze the overreaction phenomenon in Chinese stock market with the data of Shanghai stock exchange during the period of 1997-2004. It lasts eight years which can form whole estimate and monitor period, and there are lots of stocks in this period. Secondly, with the methodology in Zarowin’s paper, we find out the causes of the overreaction phenomenon in Chinese stock market. Finally, 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. We make some positive difference to the development of behavioral finance in China.The main contents of this paper are:Firstly, we introduce the relative financial theory. It mainly consist of the background, history and the development of the behavioral finance. And we summarize the research status of the overreaction phenomenon.Secondly, we empirically analyze the overreaction phenomenon in Chinese stock market with the data of Shanghai stock exchange.Thirdly, we empirically analyze the causes of the overreaction phenomenon in Chinese stock market with the same data.Finally, the summing-up and proposes are given.更多还原