THE INFLUENCE OF BIASED SIGNAL SET ON STOCK MARKET—BASED ON THE SHANGHAI COMPOSITE INDEX

Abstract

Based on the two phenomena of over and underreaction, this paper introduces the characteristics of signal set into the model, which studies the price deviation of financial market caused by investors' signal set deviation. The text concludes that investors overreact to information of low weight and underreact to information of high weight, and uses cross-section analysis and time series analysis to verify the correctness of the results.