中国股票市场过度反应现象及其成因研究
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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。
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.
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。
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.
引文
[1]数据来源于《中国证券期货统计年鉴2003》。
[2]形成期和检验期的定义请参看第三章第二节。
[1]Fama,E..Efficient Capital Markets:A Review of Theory and Empirical Work.Journal of Finance[J],1970,25:383-417.
[2]Shiller,R..Do stock prices move too much to be justified by subsequent changes in dividends[J].American Economic Review,1981,71:421-436.
[3]Fischer Black.Noise.Journal of Finance[J],1986,41:529-543.
[4]De Bondt,W.F.M.,R.H.Thaler.Does the Stock Market Overreact?[J].Journal of Finance,1985,40:793-805.
[5]Thaler.R.H..The End of Behavioral Finance[J].Financial Analysts Journal,1999,06:12-17.
[6]王永宏、赵学军:中国股市“惯性策略”和“反转策略”的实证分析[J],经济研究,2001,(6):56-61。
[7]Fama,E.Effcient capital markets:Ⅱ[J].Journal of Finance,1991,46:1575-1617.
[8]Jegadeesh,N.,Titman,S..Returns to buying winners and selling losers:implications for stock market efficiency[J].Journal of Finance,1993,48:65-91.
[9]Shleifer,A..Inefficient markets:An introduction to behavioral finance[M].Oxford U.Press,Oxford,2000.
[10]Kahneman,D.,and A.Tversky.On the psychology of prediction[J].Psychological Review,1973,80:237-251.
[11]Kahneman,D.,and W.Riepe.Aspect of investor psychology[J].Journal of Portfolio Management,1998,24:52-65.
[12]DeLong,J.B.,A.Shleifer,L.Summers,and R.J.Waldmann,Noise trader risk in financial markets[J],Journal of Political Economy,1990,98:703-738.
[13]Thaler,R.H..Seasonal movements in security price Ⅱ:Weekend,holiday,turn of the month and intra-day effects[J].Journal of Economic Perspectives,1987,42:169-177.
[14]Shiller,R.J..Conversation,information,and herd behavior[J].American Economic Review,2000,85:181-185.
[15]Shefrin,H.and M.Statman.Behavioral capital asset pricing theory[J].Journal of Financial and Quantitative Analysis,1994,29,323-349.
[16]Barberis,N.,Shleifer,A.,and R.Vishny.A model of investor sentiment[J].Journal of Financial Economics,1998,49:307-343.
[17]Barberis,N.' M.Huang,and J.Santos.Prospect theory and asset prices[M].Quarterly Journal of Economics,2001.
[18]Hong,H.,and J.C.Stein.A unified theory of underreaction,momentum trading and overreaction in asset markets[J].Journal of Finance,1999,54:2143-2184.
[19]Thaler,R.H..Advances of behavioral finance[M].New York:McGraw Hill,1993.
[20]Shiller,R.J..From efficient market theory to behavioral finance[M].Cowles Foundation Discussion,Paper No.1385,Yale University,2002.
[21]Kahneman,D.,and A.Tversky.Prospect theory:An analysis of decision under risk[J].Econometrica,1979,47:63-291.
[22]Tversky,A.and D.Kahneman.Advances in prospect theory:cumulative representation of uncertainty[J].Journal of Risk and Uncertainty,1992,5:297-323.
[23]Thaler,R.H..Toward a positive theory of consumer choice[J].Journal of Economic Behavior and Organization,1980,1:39-60.
[24]Thaler,R.H..Mental accounting and consumer choice[J].Marketing Science,1985,4:199-214.
[25]Shefrin,H.and Meir Statman.Behavioral portfolio theory[J].Journal of Finance and Quantitative Analysis.2000,35:127-151.
[26]Lopes,Lola.Between hope and fear:The psychology of risk[J].Advances In Experimental Social Psychology,1987,20:255-295.
[27]Shefrin,H.and M.Statman.Making sense of beta,size,and book-to-market[J].Journal of Portfolio Management,1995,323-349.
[28]De Bondt,W.F.M.,R.H.Thaler.Further Evidence on Investor Overreaction and Stock Market Seasonality[J].Journal of Finance,1987,42:557-580.
[29]Fama,E.F.,K.R.French.Common Factors in the Serial Correlation of Stock Returns[Z].Working Paper,1986,Graduate School of Business,Univ.of Chicago.
[30]Jegadeesh,N.Evidence of Predictable Behavior of Security Returns[J].Journal of Finance,1990,45:881-898.
[31]Zarowin,P.Does the Stock Market Overreact to Corporatc Earnings Information?[J].Journal of Finance,1989,44:1385-1399.
[32]Zarowin,P.Size,Seasonality,and Stock Market Overreaction[J].Journal of Financial and Quantitative Analysis,1990,25:113-125.
[33]Clare,A.D.,S.H.Thomas.The Overreaction Hypothesis and The UK Stock Market[J].Journal of Basiness Financial,1995,22:961-973.
[34]Lehmann,B.Fads,Martingales,and Market Efficiency[J].Quarterly Journal of Economics,1990,105:1-28.
[35]Lo Andrew W.,A.Craig MacKinlay.Data-Snooping Biases in Tests of Financial Asset Pricing Models[J].The Review of Financial Studies,1990,3:431-467.
[36]Chopra,N.,J.Lakonishok,J.R.Ritter.Measuring Abnormal Performance:Do Stocks Overreact?[J].Journal of Financial Economics,1992,31:235-268.
[37]K.Geert Rouwenhorst.International Momentum Strategies[J].Journal of Finance,1998,53:267-284.
[38]张人骥,朱平芳,王怀芳.上海证券市场过度反应的实证检验[J].经济研究,1998,(5): 58-64.
[39]沈艺峰,吴世农.中国证券市场过度反应了吗?[J].经济研究,1999,(2):21-26.
[40]邹小凡,钱英.中国股票市场的中长期回报率的过度反应[J].数理统计与管理,2003,(11):9-13.
[41]梁冰,顾海英.中国股票市场过度反应行为:完整牛市和熊市周期中的实证[J].东北林业大学学报,2004,(5):80-82.
[42]克罗吉,乔志峰.中国股市存在“反应过度”吗?[J].统计与决策,2005,(5):108-111.
[43]薛继锐,顾岚.中国股票市场的日历效应分析[J].数理统计与管理,2000,(3):10-15.
[44]汪炜.中国股市“规模效应”和“时间效应”的实证分析——以上海股票市场为例[J].经济研究,2002,(10):16-21.
[45]张兵.中国股市日历效应研究:基于滚动样本检验的方法[J].金融研究,2005,(7):33-44.
[2]形成期和检验期的定义请参看第三章第二节。
[1]Fama,E..Efficient Capital Markets:A Review of Theory and Empirical Work.Journal of Finance[J],1970,25:383-417.
[2]Shiller,R..Do stock prices move too much to be justified by subsequent changes in dividends[J].American Economic Review,1981,71:421-436.
[3]Fischer Black.Noise.Journal of Finance[J],1986,41:529-543.
[4]De Bondt,W.F.M.,R.H.Thaler.Does the Stock Market Overreact?[J].Journal of Finance,1985,40:793-805.
[5]Thaler.R.H..The End of Behavioral Finance[J].Financial Analysts Journal,1999,06:12-17.
[6]王永宏、赵学军:中国股市“惯性策略”和“反转策略”的实证分析[J],经济研究,2001,(6):56-61。
[7]Fama,E.Effcient capital markets:Ⅱ[J].Journal of Finance,1991,46:1575-1617.
[8]Jegadeesh,N.,Titman,S..Returns to buying winners and selling losers:implications for stock market efficiency[J].Journal of Finance,1993,48:65-91.
[9]Shleifer,A..Inefficient markets:An introduction to behavioral finance[M].Oxford U.Press,Oxford,2000.
[10]Kahneman,D.,and A.Tversky.On the psychology of prediction[J].Psychological Review,1973,80:237-251.
[11]Kahneman,D.,and W.Riepe.Aspect of investor psychology[J].Journal of Portfolio Management,1998,24:52-65.
[12]DeLong,J.B.,A.Shleifer,L.Summers,and R.J.Waldmann,Noise trader risk in financial markets[J],Journal of Political Economy,1990,98:703-738.
[13]Thaler,R.H..Seasonal movements in security price Ⅱ:Weekend,holiday,turn of the month and intra-day effects[J].Journal of Economic Perspectives,1987,42:169-177.
[14]Shiller,R.J..Conversation,information,and herd behavior[J].American Economic Review,2000,85:181-185.
[15]Shefrin,H.and M.Statman.Behavioral capital asset pricing theory[J].Journal of Financial and Quantitative Analysis,1994,29,323-349.
[16]Barberis,N.,Shleifer,A.,and R.Vishny.A model of investor sentiment[J].Journal of Financial Economics,1998,49:307-343.
[17]Barberis,N.' M.Huang,and J.Santos.Prospect theory and asset prices[M].Quarterly Journal of Economics,2001.
[18]Hong,H.,and J.C.Stein.A unified theory of underreaction,momentum trading and overreaction in asset markets[J].Journal of Finance,1999,54:2143-2184.
[19]Thaler,R.H..Advances of behavioral finance[M].New York:McGraw Hill,1993.
[20]Shiller,R.J..From efficient market theory to behavioral finance[M].Cowles Foundation Discussion,Paper No.1385,Yale University,2002.
[21]Kahneman,D.,and A.Tversky.Prospect theory:An analysis of decision under risk[J].Econometrica,1979,47:63-291.
[22]Tversky,A.and D.Kahneman.Advances in prospect theory:cumulative representation of uncertainty[J].Journal of Risk and Uncertainty,1992,5:297-323.
[23]Thaler,R.H..Toward a positive theory of consumer choice[J].Journal of Economic Behavior and Organization,1980,1:39-60.
[24]Thaler,R.H..Mental accounting and consumer choice[J].Marketing Science,1985,4:199-214.
[25]Shefrin,H.and Meir Statman.Behavioral portfolio theory[J].Journal of Finance and Quantitative Analysis.2000,35:127-151.
[26]Lopes,Lola.Between hope and fear:The psychology of risk[J].Advances In Experimental Social Psychology,1987,20:255-295.
[27]Shefrin,H.and M.Statman.Making sense of beta,size,and book-to-market[J].Journal of Portfolio Management,1995,323-349.
[28]De Bondt,W.F.M.,R.H.Thaler.Further Evidence on Investor Overreaction and Stock Market Seasonality[J].Journal of Finance,1987,42:557-580.
[29]Fama,E.F.,K.R.French.Common Factors in the Serial Correlation of Stock Returns[Z].Working Paper,1986,Graduate School of Business,Univ.of Chicago.
[30]Jegadeesh,N.Evidence of Predictable Behavior of Security Returns[J].Journal of Finance,1990,45:881-898.
[31]Zarowin,P.Does the Stock Market Overreact to Corporatc Earnings Information?[J].Journal of Finance,1989,44:1385-1399.
[32]Zarowin,P.Size,Seasonality,and Stock Market Overreaction[J].Journal of Financial and Quantitative Analysis,1990,25:113-125.
[33]Clare,A.D.,S.H.Thomas.The Overreaction Hypothesis and The UK Stock Market[J].Journal of Basiness Financial,1995,22:961-973.
[34]Lehmann,B.Fads,Martingales,and Market Efficiency[J].Quarterly Journal of Economics,1990,105:1-28.
[35]Lo Andrew W.,A.Craig MacKinlay.Data-Snooping Biases in Tests of Financial Asset Pricing Models[J].The Review of Financial Studies,1990,3:431-467.
[36]Chopra,N.,J.Lakonishok,J.R.Ritter.Measuring Abnormal Performance:Do Stocks Overreact?[J].Journal of Financial Economics,1992,31:235-268.
[37]K.Geert Rouwenhorst.International Momentum Strategies[J].Journal of Finance,1998,53:267-284.
[38]张人骥,朱平芳,王怀芳.上海证券市场过度反应的实证检验[J].经济研究,1998,(5): 58-64.
[39]沈艺峰,吴世农.中国证券市场过度反应了吗?[J].经济研究,1999,(2):21-26.
[40]邹小凡,钱英.中国股票市场的中长期回报率的过度反应[J].数理统计与管理,2003,(11):9-13.
[41]梁冰,顾海英.中国股票市场过度反应行为:完整牛市和熊市周期中的实证[J].东北林业大学学报,2004,(5):80-82.
[42]克罗吉,乔志峰.中国股市存在“反应过度”吗?[J].统计与决策,2005,(5):108-111.
[43]薛继锐,顾岚.中国股票市场的日历效应分析[J].数理统计与管理,2000,(3):10-15.
[44]汪炜.中国股市“规模效应”和“时间效应”的实证分析——以上海股票市场为例[J].经济研究,2002,(10):16-21.
[45]张兵.中国股市日历效应研究:基于滚动样本检验的方法[J].金融研究,2005,(7):33-44.