[1]贺京同,贺坤,赵子沐,等.中国股市的短期反转与长期反转——经验事实、理论模型与实验仿真[J].南开经济研究官网,2021,(01):85.
 He Jingtong,He Kun,Zhao Zimu and Zheng Weiyi.Short-term and Long-term Reversal Effects in Chinese Stock Market: Empirical Evidences, Theoretical Model and Experimental Simulations[J].Nankai Economic Studies,2021,(01):85.
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中国股市的短期反转与长期反转——经验事实、理论模型与实验仿真(  )
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《南开经济研究》官网[ISSN:1001-4691/CN:12-1028/F]

卷:
期数:
2021年01
页码:
85
栏目:
出版日期:
2021-02-22

文章信息/Info

Title:
Short-term and Long-term Reversal Effects in Chinese Stock Market: Empirical Evidences, Theoretical Model and Experimental Simulations
作者:
贺京同贺坤赵子沐郑为夷
贺京同,南开大学经济学院(邮编:300071),E-mail:hjt@nankai.edu.cn;贺坤,南开大学经济学院(邮编:300071),E-mail:329852827@qq.com;赵子沐,南开大学经济学院(邮编:300071),E-mail:zzm1106@foxmail.com;郑为夷,中国工商银行天津分行(邮编:300074),E-mail:hjt66156@163.com。
Author(s):
He Jingtong1 He Kun1 Zhao Zimu1 and Zheng Weiyi2
(1. School of Economics, Nankai University, Tianjin 300071, China; 2. Industrial and Commercial Bank of China, Tianjin Branch, Tianjin 300074, China)
关键词:
行为金融反转效应市场设计自谦归因DHS模型
Keywords:
Behavioral Finance Reversal Effects Market Design Self-effacing Attribution DHS Model
摘要:
根据我国股市的经验事实与实证分析,发现不同于欧美股市的短期动量效应与长期反转效应,中国股市在短期与长期内皆存在显著的反转效应特征;而依据市场设计理论,价格机制不可能脱离包括文化、习俗、制度等市场环境单独发挥作用。在此事实基础上,本文引入自谦归因偏向修正了Daniel等人(1998)模型中不符合中国投资者行为特征的假设,构建了符合中国股市的模型。仿真实验表明,在过度自信与自谦归因偏向假设下,经过短暂的过度反应后,股票收益自相关函数在短期与长期皆为负值,这与经验事实、实证研究和市场设计理论是相符的;此外,股票收益短期自相关函数绝对值,即短期反转效应水平,与投资者受自谦归因偏向影响程度呈正向关系。
Abstract:
According to the empirical evidence and researches of Chinese stock market, different from the short-term momentum and long-term reversal effects in European and American stock markets, Chinese stock market only has significant reversal effects in both short-term and long-term. Based on the market design theory, any price mechanism cannot play a role independently from the market environment, including culture, custom, system and so on. In this paper, we introduce the self-effacing attribution bias to modify the hypothesis in Daniel, Hirshleifer and Subrahmanyam’s model (1998) that does not accord with behavior characteristics of Chinese investors, then construct a new model that conforms to the Chinese stock market. The simulation results show that under the hypothesis of overconfidence and self-effacing attribution bias, the autocorrelation function of stock returns will be negative in both short-term and long-term after a short overreaction, which consistent with empirical facts and market design theory. In addition, the absolute value of short-term autocorrelation function of stock returns, that is, the level of short-term reversal effects, has a positive relationship with the degree to which investors are affected by self-effacing attribution bias.
更新日期/Last Update: 2021-01-18