我国创业板市场大幅涨跌后短期异常收益的实证研究

《我国创业板市场大幅涨跌后短期异常收益的实证研究》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、吉林财经大学硕士学位论文我国创业板市场大幅涨跌后短期异常收益的实证研究姓名：王文放申请学位级别：硕士专业：金融学指导教师：程松彬201104两种趋势都能产生较强的市场效应，短期交易策略能够获得超额收益。关键词：行为金融实证研究创业板市场短期收益AbstractChina'sGrowmEnterpriseMarketdevelopment，itsinformationdisclosure(shortforGEM)isinandtransmissionisstilltheearlystageofincomplete．Greatly疵ctedbyenvironment，habitsandpsycho

2、logicalfactors，investorsareusuallYdlfficultt0makeaccurateanalysist0themarketandcompanyinformation·Therefore，irratlo删一一behaviorisoftendemons仃atedinthismarketduringinvestmentdecisions·Investorstendt0adoptshort．te册speculativetrading．Whenthepricesjump，theyblindPursulttllosehotStocks．Soc锄theshon-temspecu

3、lativeinvestorsgetreturnsthroughthismode，Mletller也emorefrequenttransations，thehigherincomeitwillbe?Thesequestlonsare伽lofpracticalsi鲥ficaIlce，andthisarticleisgoingtoexploreontheseissues·WeknowmatthepastempiricalresearchscarcelystudyontheGrowthEnterpri∞Markct，especiallywhensharpups／downsfrequentlyhapp

4、en．Withfull∞co岫tot也eemotlo删andpsychological觚orsofmediumandsmallinvestments，we、ⅣillStudyon也eabnon：IlaLlreturnthroughempiricalmethod．Wel【now恤tme仃aditionalfinancialtheoryisbasedonrationalpersonhypothesis，tllemarketisefficientandsecurities’priceshavefullyreflectedtheiIlformat。10Il，someStorscouldonlyobta

5、inthenormalreturnswhichcorrespondtotheleVelofrisk．ButiIltheremdeal，themarketisnotefficient，andirrationalbehaviorofmarketpartlclp锄tsalsoplaysa伊eatinfluenceontheeconomicactivity．Sothereare!otSo‘锄omalles州chc锄notbeexplainedbythetraditionalfinancialtheory·Therefore，itlsnecessaryt0research也eabno咖alphenome

6、naofChina'sGrowthEnterpriseMarketwiththeperspectiveofbehavioralfinance．Theinvestmentriskislargeinthatmarket，sharpups锄ddoWnsofStocl(Scancausestrongeoncemsandpreferences·Socanthe1nVestorsobtainadditionalreturnsbynloreattentiontothosestocks?Wecalculatetheabno肌alr朗lmsof58companies(March1，2010listedcompa

7、niesbefore)byusingeventStudYmethod．Thenselectingexplanatoryvariables∞size，turnoverandBM,weapplYre盯essionanalysisbasedondailytransactiondata．Theresultreflectsthatslze锄d引言我国创业板市场在2009年10月30日正式开市，首日流通市值就