The Empirical And Experimental Study On Stock Market Overreaction

With the discovering of the stock market abnormal phenomena, the traditional financial theory can't give the right explanations, so the behavioral finance develops fast. In 1985, DeBondt and Thaler write the article 'Does the stock market overreact?'. The paper concluded the USA stock market has the phenomenon of overreacting. Now the behavioral finance has become the focus in the finance field. In this paper, we mainly do the empirical and experimental study on the stock market overreaction. The empirical stock market is the Shanghai stock market.The main works of the thesis are:Firstly, we introduce the behavioral financial theory. Mainly consist of the background, history, meaning and the development of behavioral finance.Secondly, the artificial stock market is presented in detail. This market is based on the heterogeneous agents. This method is a rising way, which can be used not only the full rational behavior, but also the partly rational behavior. This method's introduce is creative.Thirdly, the overreaction study in our country and aboard is given in the paper. So is the meaning of overreaction. We used the trading data of Shanghai stock market for the judging of overreaction. The conclusion is the market is an overreaction market.Fourthly, we introduce the order- driven system and the quotation-driven system market. And we give the methods for simulating the above markets. After the analysis of the data from the artificial market, we got that the two markets all are the overreaction market. Finally, the summing-up and proposes are given.