Test And Cause Analyse Over-reaction Or Under-reaction In Our Country's Stock Market

In recent years, with the development of the stock market, there appeared more and more vision, in which over-reaction and under-reaction is a hot research topic, therefore, this article attempts to test the existence of over-reaction in our country stock market and analyse the the causes of reasonable, it has theoretical and practical significance.This paper mainly used empirical method to inspect over-reaction of the plate and the Shanghai stock market when the China (Shanghai) Pilot Free Trade Zone listing and trading ,so as to find effective degree of the market.First by reading literature, summarized the related phenomenon of over-reaction about the domestic and foreign systematically ,and explained the definition , performance and interpretation model and other related theory of the over-reaction.And then use the stocks of Shanghai 180 index as the empirical object to study,using event study to choose free trade zone in Shanghai traded for events, according to the CAR of the formation period to divide the stocks into losers winners combination to compute JianYanQi cumulative excess yields and significance test, and the results are obtained. The main results contain both plate and market show the over-reaction phenomenon; Shock portfolios have not have been over-reaction,on the contrary they showed under-reaction in the short term and performance over-reaction in long-term; With the change of the sample size,overreaction phenomenon of shock portfolios will be different.