| According to the behavioral finance, the market is not so effective as described in the efficient market hypothesis, the person also is not entirely rational. Because of some factors, such as lack of information, cognitive ability is limited, overconfidence and so on, there usually be two exceptional phenomena on the response of stock price in the stock market:overreaction and underreaction.The subjects of the study are the overreaction and underreaction phenomena by means of examine the monthly trade data of the Main Board, the SME Board and the ChilNext, then making the horizontal and vertical comparison. The paper finds that the Main Board, the SME Board and the ChiNext all show a certain degree of reversal effect, especially in the short term (1 or 2 months) there is a significant overreaction phenomenon, and remained significant taking the market risk factors into account, thus further verifying obvious reaction phenomenon exists in the short term. Also the paper do not find the underreaction phenomenon in the three markets.From the point of three markets horizontal view, the overreaction phenomenon of the SME Board is most obvious, especially significant in the short term; the overreaction phenomenon of the growth enterprise market is also evident in the short term overreaction phenomenon, and showing the income characteristics of "the strong is not strong and the weak becomes weaker"; And the overreaction phenomenon of the Main Board represented by the Shanghai 180 Index is not obvious compared with the other two plate markets, but closer to his efficient market hypothesis, and showing the income characteristics of "the strong and the weak are both not weak" income characteristics. At the same time, from the view of time dimension, with the the extension of formation term and probative term, basically the overreaction phenomenon tends to weaken, the statistically significance of the reverse earning of investment strategy is tend to be lower.s... |
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