中国股市中信息反应模式的实证分析

本文在Hong和Stein(1999)信息扩散假说的基础上,集中研究中国股票市场中的短期反应不足和过度反应。实证结果表明中国股票市场对不同类型的信息有不同的反应方式。对于影响所有股票的收益率的宏观经济变化、行业相关政策变动等市场共同信息,股票的收益率存在过度反应现象;对于公司层面上的个股特定信息,股票的收益率存在明显反应不足。同时投资者对正面信息与负面信息的反应模式也有截然的区别,投资者对正面市场信息(利好)存在明显的过度反应,故在市场利好信息到达时,采用反向策略更为有利;由于投资者惜售的“处置效应”的影响,导致对市场利空信息的反应不足,在较短期内尤为明显。

A Case Study of the Feedback Model of Information in Chain's Stock Market

On the basis of the hypothesis of information proliferation (Hong and Stein, 1999), in this article we have mainly studied the short - term and excessive reaction of China' s stock market. The case study shows that China's stock markets have different modes of response to various types of information. To general market information such as that as to macroeconomic change and alteration in the related industrial policy which impinge on the yield of all stock rates, the stock yield rate (SYR) has extreme repercussions; but to the specified information about a particular company, obviously the SYR has less and weak echoes. Meanwhile, the investor's reaction pattern to positive information is completely different from that to negative information: to favorable market information, the investors observably have overdue response. But it is more to their benefit for them to adopt a strategy of weak response when good news arrive. In the long run, it is particularly obvious that the investors' impact of "the disposal effect" of "being grudging in selling" , has resulted in the insufficient answer to the market information about zero yield.