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行为金融的相关研究认为证券市场投资者存在各种认知偏差,从而导致对近期信息的过度反应。本文建立动态正反馈交易模型,分析股票市场过度反应的形成机制,并对沪深股票市场过度反应效应进行了实证研究。实证研究结果表明,在6个月以内的短期,市场总体呈维持原有相对强弱状态,当时间跨度在1年以上时,市场表现出过度反应的效应。在市场中,采用“买入输组合卖出赢组合”的交易策略,根据1至3年的滞后期与持有期可以获得年均6%～14%的套利收益。
Behavioral finance related research suggests that there are various cognitive biases in the securities market, leading to overreaction to the recent information. This paper establishes a dynamic positive feedback trading model, analyzes the formation mechanism of overreaction in the stock market, and conducts an empirical research on the overreaction effect in Shanghai and Shenzhen stock markets. The empirical results show that in the short term of 6 months or less, the overall market maintains its original relative strength. When the time span is more than one year, the market shows an overreaction effect. In the market, we adopt the trading strategy of “buy-sell-sell-sell-sell-sell-win combination” and receive an arbitrage return of 6% ~ 14% annually on the basis of one to three years of lag and hold.