本文選題：過度反應(yīng) + 日內(nèi)價(jià)格��； 參考：《華東師范大學(xué)》2012年碩士論文

【摘要】：在現(xiàn)代金融理論,與有效市場理論(EMH)相背離的最具代表性的“異象”便是過度反應(yīng)。首先對(duì)過度反應(yīng)現(xiàn)象進(jìn)行研究的是DeBondt和Thaler(1985),他們研究發(fā)現(xiàn),美國股票市場存在價(jià)格的長期反轉(zhuǎn)現(xiàn)象。過度反應(yīng)的發(fā)現(xiàn)挑戰(zhàn)著傳統(tǒng)金融理論的權(quán)威。但是,傳統(tǒng)金融學(xué)僅僅把過度反應(yīng)看作“異象”,比如：Fama和French(1998)認(rèn)為超常收益來源于風(fēng)險(xiǎn)的補(bǔ)償,并嘗試引入了新的因子來刻畫風(fēng)險(xiǎn)。傳統(tǒng)金融理論的解釋并不能令人信服。與此同時(shí),行為金融學(xué)給出的解釋和相關(guān)的模型似乎更具有說服力。比如：Barberis, Shleifer和Vishny的BSV模型,Daniel, Hirsheifer和Subramanyam的DHS模型,Hong和Stein(1999)的HS模型。各國學(xué)者針對(duì)證券市場是否存在過度反應(yīng)進(jìn)行了大量實(shí)證檢驗(yàn),所得出的結(jié)論卻存在著較大的分歧。其中最重要的一個(gè)原因就是定義過度反應(yīng)的標(biāo)準(zhǔn)和檢驗(yàn)的方法不同。文本主要討論了定義過度反應(yīng)的比較標(biāo)準(zhǔn)和檢驗(yàn)方法的改進(jìn)。 本文第一章主要介紹了過度反應(yīng)的研究背景,研究現(xiàn)狀和存在的問題。 第二章主要采用定量的方法,基于股票日內(nèi)價(jià)格,在股票日內(nèi)價(jià)格服從幾何布朗運(yùn)動(dòng)的假定下,構(gòu)造了一個(gè)新的衡量波動(dòng)率的統(tǒng)計(jì)量；并以此為基礎(chǔ),從Hausman檢驗(yàn)的角度構(gòu)建檢驗(yàn)日內(nèi)價(jià)格過度反應(yīng)的檢驗(yàn)統(tǒng)計(jì)量并得到其理論分布。 第三章分別討論了波動(dòng)率變化(GARCH),漂移率變化(AR),波動(dòng)率和漂移率均變化(AR-GARCH)的情況下檢驗(yàn)統(tǒng)計(jì)量的穩(wěn)健性并給出相應(yīng)的修正檢驗(yàn)統(tǒng)計(jì)量。 第四章運(yùn)用此統(tǒng)計(jì)量檢驗(yàn)了全球不同市場的過度反應(yīng)現(xiàn)象,并通過實(shí)際數(shù)據(jù)也驗(yàn)證了改進(jìn)檢驗(yàn)統(tǒng)計(jì)量的穩(wěn)健性和適用性。最后,嘗試探討了基于過度反應(yīng)檢驗(yàn)統(tǒng)計(jì)量的交易策略。
[Abstract]:In modern financial theory, the most representative "vision" that deviates from efficient market theory is overreaction.First, the overreaction phenomenon is studied by DeBondt and Thalerian 1985. They found that there is a long-term price reversal in the American stock market.The discovery of overreaction challenges the authority of traditional financial theory.However, the traditional finance only regards overreaction as a "vision", such as: Fama and French 1998, that the extraordinary income comes from the compensation of risk, and tries to introduce new factors to depict the risk.The explanation of traditional financial theory is not convincing.At the same time, behavioral finance's explanations and related models seem more persuasive.For example, Shleifer and Vishny's BSV model, Hirsheifer's and Subramanyam's DHS model and Hong's and Stein's 1999 are HS models.Scholars from all over the world have made a lot of empirical tests on whether there is overreaction in the securities market, but the conclusions are quite different.One of the most important reasons is that the criteria for defining overreaction differ from the test.This paper mainly discusses the comparison standard of defining overreaction and the improvement of test method.The first chapter mainly introduces the research background, research status and existing problems of overreaction.In the second chapter, based on the stock intraday price, a new statistical measure of volatility is constructed under the assumption of geometric Brownian motion.From the point of view of Hausman test, the test statistic of intraday price overreaction is constructed and its theoretical distribution is obtained.In the third chapter, we discuss the robustness of the test statistics under the condition of the variation of volatility, the variation of drift rate, the variation of volatility and the variation of drift rate, respectively, and the corresponding revised test statistics are given.In chapter 4, we use this statistic to test the overreaction phenomenon in different markets around the world, and verify the robustness and applicability of the improved test statistics through the actual data.Finally, the trading strategy based on overreaction test statistics is discussed.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.51

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本文編號(hào)：1733434