1、中文 4500 字， 2890 单词，英文字符 15350 The earliest research on the “mysterious volatility” of stock market was from LeRoy & Porter (1981) and Shiller (1981). They found that the actual volatility of the stock price was always higher than the theoretical value from the Variance border examination. Therefore
2、they came to a conclusion that the variation of actual stock price is relatively higher as to the fundamentals of the stock. That is to say, there is a phenomenon of undue volatility. Shiller believe that if the stock price in the present equals to the discount value of the income stream in the futu
3、re, then only the income stream that has not been expected can influence the evaluation. So the variation in the stock price should be lower than that of the income stream, but the data is just the opposite. Later on, Fama & French (1988), Poterba & Summers (1988) adopted the data of American and ot
4、her 17 relatively developed countries and found that the high rates of return of the stock index are negative autocorrelation, which means that there is a correction of undue volatility of stock index. Culter, Poterba & Summer (1991) found in their research that the undue volatility phenomenon not o
5、nly exists in the stock market, but also exists in the market of bond, foreign exchange, antiques and noble metals trading. Chinese scholars have noticed the same phenomenon. Xu Jianguo (2010) indicates that the rate of return in Chinas A-share index in the past 1-5 years can make a opposite predict
6、ion of that in the next 1-5 years, which suggests that stock prices have some unstable components of undue volatility that exist in most of the industries. And only agriculture, forestry and fishing, gas, and water supply enterprises dont have the problem. Jin Dehuan and Wang Yu Ming (2012) quantized the rate of return to the undue volatility stock for the first time by using the square deviation index. Based on the actual proof of A shares daily rate of return from 1995 to 2010. They ind
