The Research On Price Effect Anomaly Of A-Shares

The theories in traditional finance believe that stock returns should be unrelated to the nominal stock prices.However,this dissertation based on behavioral economics hypothesizes that the retail investors in A shares market,under the influence of anchoring effect,will generate the illusion of "cheap" on low-price shares and "expensive" on high-price shares which would lead to the irrational investment,and consequently price effect anomaly that stock returns have negative correlation with the stock nominal prices occurs in A shares market.With the samples of monthly trading data in A shares market from January 2000 to June 2016,this dissertation finds price effect anomaly indeed exists in A shares market,which stock returns negatively correlate with the stock nominal prices.With the price level as variable and then by constructing the multiple linear regression model based on Fama-French three-factor model,this dissertation finds price effect anomaly in A shares market cannot be explained by market risk,the scale of company and book-to-market ratio,besides price effect anomaly still exists after classifying the samples by industry.With the questionnaire survey of the retail investors in A stock market,it finds the notions and investment behaviors of retail investors are indeed influenced by the effect of price anchoring.Hence it concludes that we can't reject the hypothesis that price effect anomaly does exist in A shares market which is caused by anchoring effect,and this conclusion shows that A shares market is not an efficient market where investors have the irrational investment behavior.This dissertation suggests that regulators should cultivate investors' professional education,encourage institutional investors,and strengthen the supervision over the company'smalicious stock splitting.