英国某大学：分析中国股票市场的过度反应行为及其原因
Overreaction in Chinese Stock Market and its causes
中国股票市场过度反应行为及其原因
Because of the different situation in China, Chinese stock market is always linked with Chinese policy, national conditions as well as the economy improvement strongly. As everyone known, Chinese national conditions are special, so the development of stock market is arduous. And every change in regulation is also connected with Chinese national conditions. So in some way, the improvements in market internal efficiency are limited.
由于中国的国情不同，中国股市总是与中国的政策，国情以及经济性的改善强烈。每个人都知道，中国的国情特殊，所以股市发展是艰巨。每一个监管的变化也与中国的国情。因此，以某种方式，在市场内部效率的改善是有限的。
From the perspective of behavioral finance, over-reaction by investment decision makers under conditions of uncertainty caused by systematic psychological cognitive bias, investors faced with sudden or anticipated events, they tend to over-emphasis on immediate information and Ignored in the past information, causing the stock price up or oversold over, until investors understand the real significance of the event, the stock will reverse the ultra up oversold and ultimately back to the intrinsic value of rational interval. Specifically, the phenomenon of over-reaction is against the validity of stock market which is the important cornerstone of financial theory. According to Fama (1970) point of view, market efficiency condition is under complete information, any one stock abnormal returns zero expectations.
从行为金融学的角度来看，过度反应引起的系统的心理认知偏差的不确定性的条件下，投资决策者，投资者面临突然或预期的事件，他们往往过分强调即时信息，并在过去的信息被忽略，造成股价上涨或过度超跌，直到投资者了解真正意义的大事，股票将扭转超超卖，最终回到理性区间的内在价值。具体来说，过度反应的现象，是对股市的有效性，这是金融理论的重要基石。根据法玛（1970）的观点，市场效率的条件下完整的信息，任何一只股票异常报酬零的期望。
Overreaction phenomenon was first used by De Bondt and Thaler (1985, 1987) found the NYSE 1926 -1982 stock market which is classed by return rate of 3 years, to the best and worst of all 35 stocks are called winners and losers portfolio mix, and then observed the rate of return after 3 years. The results showed that the annual average return of the loser portfolio is significantly higher than the winner portfolio, the difference of about 8 percentage points. Combination of the original winners become losers, losers of the original portfolio into a winner, returns reversal occurred. They concluded that the existence in January effect, and that the scale is not the main reason for overreaction.
过度反应的现象是第一次使用由De BONDT的和Thaler（1985，1987）发现在纽约证券交易所1926年-1982股市回报率3年，被归类最好和最坏的所有35只股票被称为赢家和输家组合，3年后的回报率，然后观察。结果表明，的失败者组合的平均年回报率明显高于赢家组合，约8个百分点的差异。组合原赢家成为失败者，失败者的原始组合成一个胜利者，回报发生逆转。他们的结论是，一月效应的存在，那规模是不是过度反应的主要原因。#p#分页标题#e#
http://ukthesis.org/dissertation_sample
Conclusion
结论
In conclusion, there are some factors can be used to compare the stock exchange internal efficiency. Market liquidity, warrants, and transaction costs, etc. However, because the changes of regulations are related to the Chinese policy and national conditions, also because of the special situation in China, the effect of changes in regulation is limited. But after analyze the above factors; it is obviously that the regulation did increase the market internal efficiency. But it always changed with the situation and period; there is no regulation suitable for all conditions and all period. It is widely believed that before 1997 Shanghai stock exchange is not a mature market, the mechanism is also not good. So there are so many changes in these years. After 2006, it became more and more mature, more and more formal. This dissertation has emphasized the changes after 2006. It is no doubt that most of these changes are positive for the market internal efficiency.
总之，有一些因素可以用来证券交易所内部效率比较。市场流动性，认股权证，交易成本，等等。然而，由于法规的变化对中国政策和国情有关，也因为中国的特殊情况，监管变化的效果是有限的。但经过分析上述因素的调节显然是增加了市场的内部效率。但它总是改变的形势和期内并无规定适用于所有条件与期间。人们普遍认为，在1997年，上海证券交易所是不是一个成熟的市场，其机制是也并不好。因此，有这么多的变化，这些年来。 2006年以后，它变得越来越成熟，越来越多的正规。本文一直强调2006年后的变化。毫无疑问，这些变化多数是积极的内部市场效率。
Reference
参考
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Hsieh, D. A. & M. H. Miller, (1990), “Margin requirements and market volatility”, Journal of Finance, Vol. 45, 736-762.
Lee. Sang Bin & Yoo.Tae Yol, (1991), “Margin regulation and stock market response: further evidence from the U.S and some pacific-basin countries”, Review of Financial Economics, Vol. 1,79-98.
Anders Amundson，Managing Director, Elkins/McSherry. (2004), “Market impact: Transaction cost analysis and the financial markets”, Traders Magazine, Dcember.
Huang and Hans Stoll, (1997), “The components of the bid-ask spread: a general approach”, Review of Financial Studies 10, 995-1034.
Lin Ji-Chai, Gary C. Sanger, and Geoffrey G. Booth, (1995), “Trade size and the conponents of the bid-ask spread”, Review of Financial Studies 8, 1153-1183.
Madhavan Ananth, Matthew Richardson, and Mark Roomans, (1997), “Why do security prices change?” Review of Financial Studies 10, 1035-1064.
De Bondt, W. F. M. , R. H. Thaler, (1987), “Further evidence on investor on investor overreaction and stock market seasonality”, Journal of Finance, Vol 42, 557-580.
