The Research Of Comovement In Stock Return In China

Comovement is the"excess covariance"of asset prices or return which can not be explained by their fundamentals in this paper. Behavior finance think that investor's imcompletely rational investment is the primary reason of comovement in security markets. Foreign research confirmed the comovement of security markets.This paper introduced the comovement of the two main theories : investors style investment theory and the theory of information transmission . according to major investors style investment theory,this paper using the Shanghai-180 index and the big and small market-value index of tianxiang test the change of stocks'return relewent market indexies returnduring the component of stock index adjustment process and compare the change of stock'sβbefore and after the adjustment when it is add or delete from relevant index. The study found that in the test of the univariable, on the shanghai-180 index, its comovement is very significant. But result in the out shanghai-180 index , comovement is not significant, It appears that Chinese securities market comovement is "asymmetric"; But in the ensuing bivariate tests, it was found that the stock was Tianxiang style with small market index, the comovement are noticeable. General say, degree of precision of bivariate tests is higher than single variable, Therefore this paper that China's securities market presence comovement. In comparison with developed countries mature stock market, Chinese securities market is fairly strong speculative, This paper studies the same time period coincides with China's securities market is in"bearmarket", so this paper is further think, test results of China's securities market comovement are over-reaction with "good news". and under-reaction with "bad news".The existence of comovement can help investors found the deviation of the stock price, thus it can be a useful arbitrage opportunities or tools. Finally, the linkage effects of the investment strategy of a general analysis.