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我国股票市场的过度反应现象及其成因分析
id: 2060
Date: 20131014
status: published
Times:
Magazines
2006年第三期
Author
陈国进, 范长平
Content
本文采用1997-2004年上海证券交易所的所有股票交易数据,对我国股票市 场的过度反应及其成因进行实证分析。研究结果表明,我国股票市场的确存在过度反应现 象,其形成期为两年;过度反应的主要成因是规模效应,而非月历效应。
JEL-Codes
Keywords
过度反应;规模效应;月历效应
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