过度反应是证券市场异象之一,证券价格的超涨超跌和随后的翻转修正过程构成过度反应现象。De Bondt和Thaler首先研究了美国股市长期回报率过度反应,掀起了行为金融学的研究热潮。上个世纪90年代末,我国学者开始关注国内证券市场过度反应问题。深沪股市1990年底设立至今不过十多年的时间,支撑市场的制度环境和运行机制仍处发展建设过程中。我国股市投资者一直以散户居多。散户投资者具有分布 Overreaction is one of the visions of the stock market. Over-oversold and over-correction of stock prices constitute an overreaction phenomenon. De Bondt and Thaler first studied the long-term rate of return overreaction in the US stock market, setting off a wave of research in behavioral finance. In the late 1990s, scholars in our country started to pay attention to the overreaction in the domestic securities market. Shenzhen and Shanghai stock markets have been established since the end of 1990, but for more than a decade, the institutional environment and operating mechanism supporting the market are still undergoing development and construction. China’s stock market investors have been mostly retail investors. Retail investors have distribution