越南股票市場的過度反應假設之探討

The Overreaction Hypothesis: An Examination in the Vietnamese Stock Market

範蘭英(Lan Anh Pham)

指導教授 ： 李見發 ； 洪振義

朝陽科技大學/管理學院/財務金融系/碩士(2014年)

摘要

摘要
本研究主要探討越南的股票市場是否存在過度反應的現象。雖然它不是新的行為財務學議題，但是這是少數研究越南股票市場相關議題的論文，特別是本研究試著對胡志明市與河內兩個證券交易市場進行比較分析。樣本期間從2006年7月至2013年10月，分別以累計超額月報酬 (CAR) 與買進持有月報酬 (BHR) 來檢定越南的股票市場是否存在過度反應的現象。實證結果顯示胡志明市股票交易市場 (HOSE) 確實存在長期的過度反應與短期有動能效果但不顯著，尤其是套利組合的報酬會隨著持有期間越長而越高，此結果與文獻的發現一致。相反的，並沒有證據支持河內股票市場(HNX)有過度反應的現象，雖然與胡志明市股票交易市場的結果雷同，但在統計上並不顯著，我們認為造成兩個證券交易市場的過度反應程度不同的原因，可能為兩者之間存在差異的交易制度與交易條件。

關鍵字

反向策略 ； 效率市場 ； 過度反應 ； 越南股票市場

並列摘要

Abstract
This present study aims to test the existence of the overreaction behavior of investors in the Viet Nam stock market consisting of two stock exchanges (HOSE and HNX). Although it is not new topic on the financial behavior, it is little documented in Viet Nam stock market. Especially, our study might be the first study which separately explores the overreaction in two stock exchanges with different trading system and regulation. To investigate the phenomenon, we employ the monthly cumulative abnormal returns (CAR) and buy and hold returns (BHR) during the periods from July 2006 to October 2013 to investigate the overreaction in HOSE and HNX. The empirical results show the evidence that there are long-term overreaction and insignificant short-term momentum effect in HOSE. Additionally, the returns might be higher and more significant as the holding period is longer. On the contrary, we find no evidence on the overreaction in HNX. In spite of the same trend with those in HOSE, the phenomena in HNX are not statistically significant. It might contribute to the difference in trading system and regulation between HOSE and HNX.

並列關鍵字

Contrarian strategy ； Market efficiency ； Overreaction ； Vietnamese stock market

參考文獻

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