An Empirical Study On The Overreaction Of CSI 500 Plate Under The Impact Of The Event

Due to its high growth,China securities 500 board is favored by more and more investors.However,China's stock market,famous for its "policy market",is prone to overreaction of investors in the face of external macro events.Therefore,the research on overreaction of China securities 500 board has become a hot spot of behavioral finance.This paper focuses on the short-term overreaction behavior of investors in the face of event shocks.Firstly,it reviews the past studies of behavioral finance overreaction in domestic and foreign scholars.It combines overconfidence theory and overreaction theory to explain stocks.The specific process of overreaction in the market is a theoretical analysis of excessive reaction to investors.And summed up the high risk,high speculation,investor's age,capital distribution and investment characteristics of China's CSI 500 sector,combined with theoretical analysis,the CSI500 sector is prone to the real possibility of investor overreaction phenomenon,and In the empirical calculation,the daily opening price,the daily closing price of the CSI500 index in the Wind financial database and the stocks of all listed companies in the sector are selected as empirical samples,and the CAR model based on the event research method is used to determine whether there is overreaction in the CSI 500 sector.First,based on the excessive volatility day of the CSI 500 Index,a macro event that caused excessive volatility was found to determine the event day.Then with reference to the research of foreign scholars combined with the trading characteristics of the CSI 500 sector market,the formation period and inspection period are reasonably divided.The key part of the empirical analysis is to construct the ACAR indicator of the CSI 500 Index and the individual stock portfolio,and conduct relevant statistical tests during the inspection period.Through the indicator whether there is asignificant price reversal during the inspection period,whether the incident shock caused the excessive reaction caused by Chinese investors to invest in the CSI 500 sector is demonstrated.The conclusions are as follows: During the sample period from January 2013 to October 2018,through the construction and empirical test of the daily yield of the CSI500 Index,it was found that in the face of positive events,the CSI 500 sector did not produce significant overreaction in the short term;in the face of negative information shocks,the CSI 500 sector showed significant overreaction on the fifth trading day of the inspection period.Through the construction and empirical test of the “winner combination” and “loser combination” of the CSI 500 stocks,the above conclusions are also confirmed,and the price reversal of CSI 500 index appear earlier than the“winner combination” and “ loser combination”.The length of the overreaction phenomenon was 10 trading days.Combined with the event shock,the characteristics of the stock portfolio were summarized,which provided a useful reference for investors to make decisions during investment.The innovation lies in the empirical research over-reaction from the three aspects of CSI 500 index,individual stock portfolio and individual stocks.The type of event shock extends to the phenomenon of over-reaction of individual stocks caused by internal events and related emergency shocks of listed companies.This is the main empirical comparison,making the conclusion more objective and more realistic.