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Empirical Study on Overreaction and Underreaction in Chinese Stock Market Based on ANAR-TGARCH Model
Post-Doctoral Scientific Research Workstation, Shanghai International Group Co., Ltd. (SIG), Shanghai, China;Post-Doctoral Research Station for Applied Economics, Fudan University, Shanghai, China;Department of Applied Mathematics, Shanghai Finance University, Shanghai, China
- 1 Post-Doctoral Scientific Research Workstation, Shanghai International Group Co., Ltd. (SIG), Shanghai, China;Post-Doctoral Research Station for Applied Economics, Fudan University, Shanghai, China;Department of Applied Mathematics, Shanghai Finance University, Shanghai, China
Journal of Financial Risk Management·Volume 02 (2013)·Pages 71–76·Published 2 October 2013·DOI10.4236/jfrm.2013.24012
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Abstract
An ANAR-TGARCH model is adopted in this paper. By using a first-order asymmetric autoregressive mean equation, we conduct a series of robust tests on overreaction and underreaction in the Chinese stock market by taking the abnormal value, run length, time scale, size, industry, style, and market cycle into account. We then comprehensively compare the intensities of the first-order autocorrelation by using Wald coefficients tests. Results could provide strong empirical support for generating stock market investment strategies.
KeywordsOverreactionUnderreactionANAR-TGARCH Model
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