英國(guó)某大學(xué)：分析中國(guó)股票市場(chǎng)的過度反應(yīng)行為及其原因

Overreaction in Chinese Stock Market and its causes
中國(guó)股票市場(chǎng)過度反應(yīng)行為及其原因

Because of the different situation in China, Chinese stock market is always linked with Chinese policy, national conditions as well as the economy improvement strongly. As everyone known, Chinese national conditions are special, so the development of stock market is arduous. And every change in regulation is also connected with Chinese national conditions. So in some way, the improvements in market internal efficiency are limited.
由于中國(guó)的國(guó)情不同，中國(guó)股市總是與中國(guó)的政策，國(guó)情以及經(jīng)濟(jì)性的改善強(qiáng)烈。每個(gè)人都知道，中國(guó)的國(guó)情特殊，所以股市發(fā)展是艱巨。每一個(gè)監(jiān)管的變化也與中國(guó)的國(guó)情。因此，以某種方式，在市場(chǎng)內(nèi)部效率的改善是有限的。

From the perspective of behavioral finance, over-reaction by investment decision makers under conditions of uncertainty caused by systematic psychological cognitive bias, investors faced with sudden or anticipated events, they tend to over-emphasis on immediate information and Ignored in the past information, causing the stock price up or oversold over, until investors understand the real significance of the event, the stock will reverse the ultra up oversold and ultimately back to the intrinsic value of rational interval. Specifically, the phenomenon of over-reaction is against the validity of stock market which is the important cornerstone of financial theory. According to Fama (1970) point of view, market efficiency condition is under complete information, any one stock abnormal returns zero expectations.
從行為金融學(xué)的角度來看，過度反應(yīng)引起的系統(tǒng)的心理認(rèn)知偏差的不確定性的條件下，投資決策者，投資者面臨突然或預(yù)期的事件，他們往往過分強(qiáng)調(diào)即時(shí)信息，并在過去的信息被忽略，造成股價(jià)上漲或過度超跌，直到投資者了解真正意義的大事，股票將扭轉(zhuǎn)超超賣，最終回到理性區(qū)間的內(nèi)在價(jià)值。具體來說，過度反應(yīng)的現(xiàn)象，是對(duì)股市的有效性，這是金融理論的重要基石。根據(jù)法瑪（1970）的觀點(diǎn)，市場(chǎng)效率的條件下完整的信息，任何一只股票異常報(bào)酬零的期望。

Overreaction phenomenon was first used by De Bondt and Thaler (1985, 1987) found the NYSE 1926 -1982 stock market which is classed by return rate of 3 years, to the best and worst of all 35 stocks are called winners and losers portfolio mix, and then observed the rate of return after 3 years. The results showed that the annual average return of the loser portfolio is significantly higher than the winner portfolio, the difference of about 8 percentage points. Combination of the original winners become losers, losers of the original portfolio into a winner, returns reversal occurred. They concluded that the existence in January effect, and that the scale is not the main reason for overreaction.
過度反應(yīng)的現(xiàn)象是第一次使用由De BONDT的和Thaler（1985，1987）發(fā)現(xiàn)在紐約證券交易所1926年-1982股市回報(bào)率3年，被歸類最好和最壞的所有35只股票被稱為贏家和輸家組合，3年后的回報(bào)率，然后觀察。結(jié)果表明，的失敗者組合的平均年回報(bào)率明顯高于贏家組合，約8個(gè)百分點(diǎn)的差異。組合原贏家成為失敗者，失敗者的原始組合成一個(gè)勝利者，回報(bào)發(fā)生逆轉(zhuǎn)。他們的結(jié)論是，一月效應(yīng)的存在，那規(guī)模是不是過度反應(yīng)的主要原因。#p#分頁(yè)標(biāo)題#e#
http://ukthesis.org/dissertation_sample

Conclusion
結(jié)論

In conclusion, there are some factors can be used to compare the stock exchange internal efficiency. Market liquidity, warrants, and transaction costs, etc. However, because the changes of regulations are related to the Chinese policy and national conditions, also because of the special situation in China, the effect of changes in regulation is limited. But after analyze the above factors; it is obviously that the regulation did increase the market internal efficiency. But it always changed with the situation and period; there is no regulation suitable for all conditions and all period. It is widely believed that before 1997 Shanghai stock exchange is not a mature market, the mechanism is also not good. So there are so many changes in these years. After 2006, it became more and more mature, more and more formal. This dissertation has emphasized the changes after 2006. It is no doubt that most of these changes are positive for the market internal efficiency.
總之，有一些因素可以用來證券交易所內(nèi)部效率比較。市場(chǎng)流動(dòng)性，認(rèn)股權(quán)證，交易成本，等等。然而，由于法規(guī)的變化對(duì)中國(guó)政策和國(guó)情有關(guān)，也因?yàn)橹袊?guó)的特殊情況，監(jiān)管變化的效果是有限的。但經(jīng)過分析上述因素的調(diào)節(jié)顯然是增加了市場(chǎng)的內(nèi)部效率。但它總是改變的形勢(shì)和期內(nèi)并無(wú)規(guī)定適用于所有條件與期間。人們普遍認(rèn)為，在1997年，上海證券交易所是不是一個(gè)成熟的市場(chǎng)，其機(jī)制是也并不好。因此，有這么多的變化，這些年來。 2006年以后，它變得越來越成熟，越來越多的正規(guī)。本文一直強(qiáng)調(diào)2006年后的變化。毫無(wú)疑問，這些變化多數(shù)是積極的內(nèi)部市場(chǎng)效率。

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參考

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Hsieh, D. A. & M. H. Miller, (1990), “Margin requirements and market volatility”, Journal of Finance, Vol. 45, 736-762.
Lee. Sang Bin & Yoo.Tae Yol, (1991), “Margin regulation and stock market response: further evidence from the U.S and some pacific-basin countries”, Review of Financial Economics, Vol. 1,79-98.
Anders Amundson，Managing Director, Elkins/McSherry. (2004), “Market impact: Transaction cost analysis and the financial markets”, Traders Magazine, Dcember.
Huang and Hans Stoll, (1997), “The components of the bid-ask spread: a general approach”, Review of Financial Studies 10, 995-1034.
Lin Ji-Chai, Gary C. Sanger, and Geoffrey G. Booth, (1995), “Trade size and the conponents of the bid-ask spread”, Review of Financial Studies 8, 1153-1183.
Madhavan Ananth, Matthew Richardson, and Mark Roomans, (1997), “Why do security prices   change?” Review of Financial Studies 10, 1035-1064.
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