This paper investigates the price overreaction during the initial continuous trading period of the Chinese corn futures market. Using a dynamic modeling algorithm, we identify the overreaction behavior of intraday high-frequency (1 min and 3 min) prices during the first session of daytime trading. The results indicate that the overreaction hypothesis is confirmed for the daytime prices of the Chinese corn futures market. We also find a noticeable reduction in overreaction following the introduction of night trading and this decline appears to diminish over time. Furthermore, this paper conducts an overreaction trading strategy to assess traders’ returns, revealing a slight decline in average return after the introduction of night trading. This study provides valuable insights and recommendations for exchanges and regulators in monitoring overreaction and formulating effective policies to address it.

本研究将Dueker(1997)提出的波动度自我消散(dispersion)或称波动度均数复归(volatility mean reversion)的设定融入Gray(1996)的MS-GARCH模型中，以期能改善对于短期利率波动的描述与预测。此GARCH自我消散模型的主要特色有二。首先，在Gray模型的设定上，在每个状态下我们采用了t-分配(而非常态分配)。其次，遵循Dueker的作法，我们采用自我消散的设计将厚尾状态下的下期转换给予较低的权重，以降低过去厚尾状态残差平方的冲击及对当期条件变异数的影响。实证上，本研究探讨了三种短率期货：欧洲美元定存利率期货、三个月欧元利率期货与台湾的三十天期融资性商业本票利率期货，其实证结果显示波动度自我消散的设定无论在样本内或样本外都确实改善了估计的正确性。

While the vast majority of the literature reports momentum profitability to be overwhelming in the U.S. market and widespread in other countries, this paper finds that the pure momentum strategy in general does not yield excess profitability in the Chinese stock markets. We find instead strong mean reversion with an average half-life slightly shorter than one year. A pure contrarian investment strategy produces positive excess returns and in general outperforms the pure momentum strategy. Furthermore, momentum may interact with mean reversion. A strategy based on the rolling-regression parameter estimates of the model combining mean reversion and momentum generates both statistically and economically significant excess returns. The combined strategy outperforms both pure momentum and pure contrarian strategies. We conduct a number of robustness tests and confirm the basic findings. Collectively, our results seem to support the overreaction hypothesis.