Price Of Securities Short-term For Investors Trading Behavior, Empirical Research

Behavioral finance is a new intercross subject. It dedicates to describe the decision-making process of the investors but not to tell the investors how to make the investment decision, which is the difference between behavioral finance and the classical finance. The research pivot of behavioral finance is trading action of the investors and the key factor that affects trading action of the investors is the movement of the price of security. The decision the investors have made after they received all kinds of information materialize the movement of the price of the security ultimately. So, this paper define the extent of the price movement of the security as focus event, and discuss the investor behavior by the overreaction test. After tested the overreaction hypothesis, the paper build a behavioral financial analysis frame based on the existing behavioral financial theories and analyze the empirical results in the frame.The paper reaches some conclusions as follows:1. There is not short-term overreaction in Chinese security market. The return manifests distinct momentum effect. This tells us that the investors' trading action deviate from the mean value continually more than regress to it after the price movement.2. There is difference of t value between the A shares ,B shares and funds of Shanghai security market. The t value of A shares is the most distinct. As time passed, t value turned unconspicuous.3. The proportion of the difference of the portfolios is different between the up phase and the down phase. In the up phase, the difference of the portfolios is constituted mainly by the winner portfolio. Whereas, in the down phase , it is constituted mainly by the loser portfolio.4. The different extent of the price movement affect the investors' trading action differently.The contributions of the paper include:1. Test the short-term overreaction hypothesis of the investors' trading action in Chinese security market for the first time. Erenow, there is not test of overreaction with data of days in China.2. Build a new behavioral financial frame based on the existed behavioral financial theories, and interpreted the empirical results under the frame. For Ashares, we have obtained a satisfying analytical result and extend the application of the behavioral financial theories.