中文摘要：

本文以上证股市为例，首次同时考察不同市场态势下收益和波动的非对称反应，发现牛、熊态势下股市收益的均值回归特征差异明显，理性预期假设不成立：牛市阶段负收益均值回归的速度和幅度更大、呈反转趋势，正收益则具有一定持续性；熊市阶段正负收益均呈反转趋势，其中正收益反转趋势更明显；牛、熊市阶段股市对“坏消息”都反应过度，牛市阶段市场对“好消息”反应不足，熊市阶段市场对“好消息”比对“坏消息”的过度反应更明显。

英文摘要：

Using Shanghai Stock Exchange as an example, the paper investigates the asymmetric reactions of stock market returns and volatility to ＂good＂ and ＂bad＂ news during bull and bear phases. We find that there exist notable differences in the mean-reverting patterns between bull and bear phases, and the time-varying rational expectation hypothesis does not hold. During bull phases ,negative returns on average revert more quickly ,with a greater reverting magnitude,to positive returns. Negative returns tend to revert immediately,while positive returns display some sort of persistence. Whereas ,during bear phases ,both positive and negative returns tend to revert immediately, and positive returns on average revert more quickly ,with a greater reverting magnitude,to negative returns. In addition ,the market overreacts to ＂bad＂ news during both bull and bear phases. During bull phases, the market underreacts to ＂good＂ news,and the market overreacts more notably to ＂good＂ news than to ＂bad＂ news during bear phases.