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论文类型：会议论文

发表时间：2016-01-01

收录刊物：CPCI-SSH

页面范围：57-62

关键字：market efficiency; stock returns formatting; overreaction; underreaction; shanghai stock exchange

摘要：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.