Anomalies and Heterogeneity of China Stock Markets in the Financial Crisis

Study on anomalies in financial markets is a hot Issue in recent years. Especially with the processes of behavioral finance, researches on investors’ heterogeneities become more important. This paper analyzes financial anomalies exiting in China markets, as economies in transition and emerging markets, during the financial crisis. We find the existence of some financial anomalies in China stock markets such as “April effects”. However, some anomalies founded abroad don’t show in China. Behavioral finance theory is used to analyze the investors’ heterogeneity in China market, finding significant Conformability, Overconfidence and Policy guidance, which will have positive significance for further development of China stock markets.