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中国沪深A股市场的过度波动比较分析 被引量:1

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摘要 本文使用方差差对股市过度波动进行度量,并基于1995年至2011年个股收益率数据,运用组合研究方法对沪深A股市场的过度波动进行了比较分析,研究结果表明上证A股市场存在投资者过度反应导致的过度波动。相反,没有证据表明深证A股市场存在投资者过度反应导致的过度波动。本文认为投资者行为差异是沪深A股市场走势出现巨大反差的重要原因。
作者 汪宇明
出处 《求索》 CSSCI 2012年第3期26-28,共3页 Seeker
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