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A befektetői túlreagálás empirikus vizsgálata a Budapesti Értéktőzsdén
[An empirical test for investor over-reaction on the Budapest stock exchange]

Author

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  • Lakatos, Máté

Abstract

A tanulmány egy lokális és relatíve kis tőkepiacon, a Budapesti Értéktőzsdén teszteli a viselkedési pénzügyek azon állítását, hogy a befektetők túlreagálják a piacon elérhető információkat. Elsőként a reverziós jelenséget vizsgálja meg a tanulmány, amely kimondja, hogy a befektetési túlreagálás következtében a múltban a piacot alulteljesítő részvények a jövőben szignifikánsan felülteljesítővé válnak, és fordítva. Az eredmények alapján nem lehet elutasítani, hogy a Budapesti Értéktőzsdén megfigyelhető a túlreagálási jelenség, ami statisztikailag is szignifikánsnak bizonyul. A tanulmány további célja a reverziós jelenség, illetve a lendülethatás közötti kapcsolat elemzése, valamint ezen anomáliák hosszára vonatkozó vizsgálat. A számítások alapján elmondható, hogy leginkább a vizsgált befektetési időhorizonttól függ az anomáliák jelenléte. Rövid, éven belüli időtávon kitart a portfóliók lendülete, azonban egy éven túli perióduson továbbra is elfogadható a reverziós jelenség, amely a kiértékelési időtáv vége felé fokozatosan megszűnik.* Journal of Economic Literature (JEL) kód: G02, G12, G14, C58, C12.

Suggested Citation

  • Lakatos, Máté, 2016. "A befektetői túlreagálás empirikus vizsgálata a Budapesti Értéktőzsdén [An empirical test for investor over-reaction on the Budapest stock exchange]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 762-786.
    • Handle: RePEc:ksa:szemle:1642
    DOI: 10.18414/KSZ.2016.7-8.762
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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