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Chinese Journal of Management Science ›› 2004, Vol. ›› Issue (5): 23-29.

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Study on Short-term Behavior of Overreaction of Chinese Stock Market

LIANG Bing, GU Hai-ying   

  1. School of Management, Shanghai Jiaotong University, Shanghai 200030, China
  • Received:2003-11-03 Revised:2004-08-04 Online:2004-10-28 Published:2012-03-07

Abstract: This paper systematically compared A Share of Shanghai and Shenzhen in short-term behavior after overreaction using the data from Jan.1997to Oct,2003.The empirical study reveals that both Shanghai Stock Market and Shenzhen have overreaction in negative price shocks in short-term windows.But in positive price shocks there is only momentum effect.Our analysis highlights that there exists"March effects",not the common"January effects".The regression results indicate that,for both Shanghai and Shenzhen,the cumulative abnormal returns are not always strongly related to the levels of the shocks.

Key words: overreaction, CAR, month effect

CLC Number: