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An ANAR-TGARCH model is adopted in this paper. By using a first-order asymmetric autoregressive mean equation, we conduct a series of robust tests on overreaction and underreaction in the Chinese stock market by taking the abnormal value, run length, time scale, size, industry, style, and market cycle into account. We then comprehensively compare the intensities of the first-order autocorrelation by using Wald coefficients tests. Results could provide strong empirical support for generating stock market investment strategies.

Empirical Study on Overreaction and Underreaction in Chinese Stock Market Based on ANAR-TGARCH Model