Release Time:2019-03-12  Hits:

Indexed by: Conference Paper

Date of Publication: 2016-01-01

Included Journals: CPCI-SSH

Page Number: 57-62

Key Words: market efficiency; stock returns formatting; overreaction; underreaction; shanghai stock exchange

Abstract: 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.