摘 要
行为金融学作为现代金融理论的重要分支，为解释传统有效市场假说难以涵盖的股票市场异象提供了新的视角。本研究基于行为金融学理论框架，旨在探讨股票市场中若干典型异象的成因及其对投资者决策的影响。通过整合心理学、经济学和金融学的跨学科方法，本文选取了过度反应、动量效应、处置效应等经典异象作为研究对象，并结合中国A股市场的实证数据进行分析。研究采用事件研究法、回归分析法以及行为实验法等多种定量与定性相结合的研究手段，揭示了投资者情绪、认知偏差及社会影响等因素在市场异象形成中的关键作用。结果表明，行为偏差显著影响了市场参与者的决策过程，从而导致资产价格偏离其基本价值。此外，本研究还发现，文化背景和社会环境对行为金融现象具有重要调节作用，这一结论为中国情境下的行为金融研究提供了新思路。本文的主要创新点在于将行为金融学理论与本土化市场特征相结合，拓展了现有理论的应用边界，并为政策制定者完善市场监管机制提供了参考依据。同时，研究强调了投资者教育的重要性，以期减少非理性行为对市场效率的负面影响。
关键词：行为金融学；股票市场异象；投资者行为；文化背景；政策监管
An Examination of Stock Market Anomalies from the Perspective of Behavioral Finance
Abstract: Behavioral finance, as a significant branch of modern financial theory, provides a novel perspective for explaining stock market anomalies that traditional efficient market hypotheses struggle to encompass. This study, grounded in the theoretical fr amework of behavioral finance, aims to investigate the causes of several typical market anomalies and their impacts on investor decision-making. By integrating interdisciplinary approaches from psychology, economics, and finance, this paper selects classic anomalies such as overreaction, momentum effect, and disposition effect as research subjects, analyzing them with empirical data from China’s A-share market. The study employs a combination of quantitative and qualitative methodologies, including event study, regression analysis, and behavioral experiments, to uncover the critical roles of investor sentiment, cognitive biases, and social influences in the formation of market anomalies. The findings indicate that behavioral biases significantly affect the decision-making processes of market participants, leading to deviations of asset prices from their fundamental values. Additionally, this research reveals that cultural backgrounds and social environments play important moderating roles in behavioral finance phenomena, offering new insights for behavioral finance studies within the Chinese context. The primary innovation of this paper lies in its integration of behavioral finance theory with localized market characteristics, extending the application boundaries of existing theories and providing reference for policymakers to improve market regulation mechanisms. Furthermore, the study emphasizes the importance of investor education to mitigate the negative effects of irrational behaviors on market efficiency.
Keywords: Behavioral Finance; Stock Market Anomalies; Investor Behavior; Cultural Background; Policy Regulation
目 录
一、绪论 1
（一）股票市场异象的研究背景 1
（二）行为金融学视角的意义分析 1
（三）国内外研究现状综述 1
（四）本文研究方法与创新点 2
二、行为偏差对股票市场异象的影响 2
（一）过度自信与投资者决策行为 2
（二）损失厌恶在市场中的表现形式 3
（三）羊群效应与价格波动的关系 3
（四）心理账户对投资选择的作用 4
（五）行为偏差的综合影响分析 4
三、股票市场异象的行为金融解释 5
（一）动量效应的成因与机制 5
（二）价值效应的理论基础与实证 5
（三）小盘股溢价现象的行为解读 6
（四）日历效应的形成与心理因素 6
（五）异象解释的统一框架构建 7
四、行为金融视角下的市场效率分析 7
（一）半强式有效市场的局限性探讨 7
（二）投资者情绪对市场效率的影响 8
（三）信息处理偏差与市场非有效性 8
（四）行为模型在市场预测中的应用 9
（五）提升市场效率的政策建议 9
结论 10
参考文献 11
致 谢 12
