Overreaction And Underreaction:an Empirical Research On The Shares Of A+H Companies Listed Both In The Shanghai Securities Exchange And Stock Exchange Of Hong Kong Ltd

Since the Efficient Market Hypothesis being challenged,the papers talking at-home-and-abroad about two abnormal investment phenomena, overreaction and underreaction, are to be in an endless stream. But they had inadequate study on the two reactions confined to a region or country, or the same form of society, and do not study the stock of the same company listed in at least two different places where they have different social ideology, whether having the same overreaction and underreaction. Based on this, this paper attempts to examine dual company’s A share and H share whether exposing anomalies in Shanghai Stock Market and the Stock Exchange of Hong Kong.This paper has five chapters:Firstly, the main content of this chapter is to summarize this paper’s general background, significance and framework.Secondly, we introduce overreaction, underreaction and relative literature review.Thirdly, we explain the dual company and its "A+H" shares.Fourthly, we empirically analyze the causes of the overreaction and underreaction phenomenon.Finally, the summing-up and proposals are given.Based on the experienced study, our findings conclude as follows:The losers of A-shares of the mainland, in the long-term and short-term, have significant overreaction phenomenon, while the winners have significant underreaction phenomenon.The winners of the H-shares of Hong Kong has nonsignificant underreaction phenomenon, while the losers has nonsignificant overreaction, except24months’ period. Meanwhile, the ACARs of the winners and the losers in the long-term, during the test and formative period, have significant convergence.