The Transmission Of Overreaction Effect Among International Capital Market

This research emphasis on overreaction effect of the capital market and the transference of irrational behavior among different countries,Especially between U.S.stock market and mainland China's index futures market.S&P500 index futures and CSI 300 index futures are selected as representative samples to validate the assumption that will the overreaction behaviors found on strong market passed on to emerging market.In addition,CSI 300 index futures are chosen as the indicators to confirm whether the overreaction behavior exists on mainland China's stock futures market.Collecting transaction data from a period of three years,the empirical results suggest that:(1)there is no significant evidence to support the overreaction behavior on American stock market could influence China's stock index futures market,arousing irrational behavior(2)according to the transaction data of CSI 300 index,delay-reaction effect was found on China's stock index futures market.Moreover,investors of CSI 300 index futures are pessimistic about the market intelligence,respond more frequency to negative information than positive information.