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中国管理科学 ›› 2015, Vol. 23 ›› Issue (11): 39-45.doi: 10.16381/j.cnki.issn1003-207x.2015.11.005

• 论文 • 上一篇    下一篇

极端风险下中国股市的反应特征研究

谢海滨1, 田军2, 汪寿阳3   

  1. 1. 对外经济贸易大学金融学院, 北京 100029;
    2. 深圳证券交易所综合研究所, 广东深圳 518038;
    3. 中国科学院数学与系统科学研究院, 北京 100190
  • 收稿日期:2014-10-19 修回日期:2015-05-09 出版日期:2015-11-20 发布日期:2015-12-01
  • 作者简介:谢海滨(1982-),男(汉族),安徽黄山人,对外经济贸易大学金融学院讲师,研究方向:管理科学与工程.
  • 基金资助:

    教育部人文社科研究项目(14YJCZH167);国家自然科学基金青年资助项目(71401033,71301027);对外经济贸易大学中央高校基本科研业务专项资金(15YQ08)

Study on Response to Extreme Risk in Chinese Stock Market

XIE Hai-bin1, TIAN Jun2, WANG Shou-yang3   

  1. 1. School of Banking and Finance, University of International Business and Economics, Beijing 100029, China;
    2. Research Institute Shenzhen Stock Exchange, Shenzhen 518038, China;
    3. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
  • Received:2014-10-19 Revised:2015-05-09 Online:2015-11-20 Published:2015-12-01

摘要: 投资者是否理性在金融理论中至关重要。本文利用日度交易价格数据,对中国股票市场在极端风险下的反应特征进行了统计实证研究。基于2002-2013年的数据发现,中国股票市场在极端风险下会表现出一些有趣且显著的反应特征。具体表现为:1.在股市出现极端下跌情形下,市场会由于过度反应而在接下来的一个交易日内表现出显著的反转特征;而在股市出现极端上涨情形下,市场在接下来的交易日内并没有明显的反应模式;2.与熊市相比,在出现极端下跌风险下,市场在牛市中更容易出现过度反应而表现出反转特征。实证研究结果还发现,基于极端风险构建的投资交易策略要显著的优于有效市场假说的买入并持有策略。本文的实证研究结果不仅表明投资者的非理性特征,而且还表明这种非理性特征已经影响到资产的定价。

关键词: 极端风险, 过度反应, 中国股票市场

Abstract: The question whether or not investors in financial markets are rational is of great importance in finance. The rationality of Chinese stock market under extreme risk is investiated in this paper. Defining extreme risk as returns above (below) a specified threshold, a statistical indicator is proposed to investigate the market response to extreme risk. Based on daily prices of Chinese stock market index over January 1, 2002-October 28, 2013, our results demonstrate some interesting characteristics of Chinese stock market under the extreme risk:1. stock index is found to rebound in case of sharp fall in stock index;no such evidence is found in case of sharp rise in stock index;2. compared to bear market, stock index in bull market tends to rebound in case of extreme downside risk. Trading strategy based on extreme risk outperforms the simple buy-and-hold strategy, indicating the irrationality of Chinese stock market in case of extreme risk. The empirical findings demonstrate that investors in Chinese stock market is irrational and that extreme risk is an important factor in asset pricing.

Key words: extreme risk, overreaction, Chinese stock market

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