On the Excess Fluctuation of China Stock Market Indices
研究发现中国股票市场指数存在过度波动，过去1-5年收益率能负向预测未来1-5年收益率高达四分之三的变动，且除农业和公用事业外所有行业组合均存在此现象。
Motivated by the recent dramatic fluctuation of China stock market,this paper examines existence of excess fluctuation in China stock market indices.Empirically,past 1-5 year returns negatively predict up to three fourth of the variation in the future 1-5 year returns.Stock index returns are positively autocorrelated at high frequencies at short lags but negatively autocorrelated at long lags.At low frequencies the autocorrelations are negative.Together the evidence suggests that Chinese stock market indices display excess fluctuations.The phenomenon exists in all industry portfolios except agriculture and utilities,which accounts for 3.5%of total market capitalization.