采用反轉交易策略的方法，構建了滬市A股滯后1～8周的互自相關系數矩陣，發現滬市A股存在與美國股市不同的互自相關關系和領先滯后結構。通過對反轉交易策略的盈利進行分解分析，進一步證實了以上結論，發現在滬市A股股票之間的互自相關關系對反轉收益的作用是隨時間發生變化的。該文的實證結果還暗示，股市是否存在過度反應與考察期跨度的選擇有很大關系。

Adopting the methods of Lo et al. (1990) and using weekly return of 234 stocks listed in Shanghai A stock market, this paper conducts the size-sorted cross-autocorrelation matrices with lagging periods from 1 to 8 weeks. The different cross-autocorrelation and lead-lag structure in Shanghai stock market is found compared with those in US stock market reported by Lo et al. (1990). Investigation on Lo-MacKinlay contrarian strategy suggests that the cross-autocorrelation in Shanghai stock market has time-varying role for contrarian profits. This paper also finds that the overreaction may correlate to the different research length.