中國股票市場噪聲交易風險實證研究
發(fā)布時間：2018-07-17 19:52
【摘要】：隨著經(jīng)濟的全球化發(fā)展,各國的金融市場也進入全球化時代,實體經(jīng)濟與金融市場的相互作用也越來越明顯,金融市場的波動對實體經(jīng)濟的影響非常大。無論是歷史上的荷蘭郁金香危機,英國南海危機和1929年美國股市大崩盤,還是2008年由美國次貸危機引發(fā)的全球金融危機都對全球的實體經(jīng)濟產(chǎn)生了巨大影響。美國的次貸危機使得全球經(jīng)濟到現(xiàn)在都沒有完全恢復(fù),各國現(xiàn)在依然面臨著高失業(yè)率、低經(jīng)濟增長、貨幣緊縮,有的國家還面臨著嚴重債務(wù)危機。金融市場的泡沫嚴重干擾了實體經(jīng)濟的正常運行,也影響了金融市場的平穩(wěn)發(fā)展。因此,維持金融市場穩(wěn)定,減少金融市場泡沫,監(jiān)督投資者行為對我國經(jīng)濟的平穩(wěn)快速發(fā)展有著重要意義。 金融泡沫和市場上出現(xiàn)的許多其他異象使得以“有效市場假設(shè)”為主導(dǎo)的傳統(tǒng)金融理論受到了越來越多的質(zhì)疑和挑戰(zhàn)。傳統(tǒng)金融理論無法解釋這些異象,在錯綜復(fù)雜的社會環(huán)境中,信息的傳遞會受到影響,同時投資者也很難一直保持理性人的狀態(tài),其做出的決策會受到很多因素的影響。行為金融理論把社會學(xué)和心理學(xué)與金融理論結(jié)合在一起受到了許多學(xué)者的追捧,也得到了迅速發(fā)展。噪聲交易作為行為金融理論的熱點之一,也是許多學(xué)者研究的重點。股票市場上是否存在噪聲交易,噪聲交易是否能夠長期生存以及市場上噪聲交易的大小,對這些疑問進行研究,將對減少我國股票市場上噪聲交易的程度、化解噪聲交易風險、維持股票市場穩(wěn)定、保持市場效率有重要的理論意義和現(xiàn)實意義。 本文首先通過行為金融理論對市場異象的解釋,引出噪聲交易,充分解釋了噪聲交易產(chǎn)生的原因；其次通過DSSW模型證實了噪聲交易可以長期存在于股票市場中,然后通過全面分析我國股票市場噪聲交易存在的情況和噪聲交易風險值；最后得出研究結(jié)論。各章的內(nèi)容如下： 第一章,引言。闡述本文的研究背景和選題意義,并指出本文的結(jié)構(gòu)安排、主要工作和不足之處。 第二章,文獻綜述。通過對國內(nèi)外相關(guān)文獻進行回顧和梳理,將相關(guān)文獻按寫作的目的分成了三類,全面闡述了噪聲交易的研究成果和研究現(xiàn)狀,為本文寫作奠定了基礎(chǔ)。 第三章,噪聲交易成因及生存機制分析。本章從傳統(tǒng)金融理論的不足,引出行為金融理論,再從行為金融理論的角度,從理論上詳細地分析了噪聲交易產(chǎn)生的原因；然后通過DSSW模型證實噪聲交易者在與理性交易者進行交易時能夠為自己創(chuàng)造生存空間,從而長期存在于市場之中。這為本文研究奠定了理論基礎(chǔ)。 第四章,中國股市噪聲交易的描述性分析。本章主要將滬深兩市的市盈率、換手率和噪聲系數(shù)指標與西方成熟金融市場的相應(yīng)指標進行對比,分析我國股票市場上噪聲交易的整體情況。 第五章,中國股票市場噪聲交易存在性的實證研究。本章依據(jù)隨機游走模型,檢驗滬深兩市日收益率序列是否符合分布情況,從實證研究中國股票市場噪聲交易的存在狀況。 第六章,中國股票市場噪聲交易風險大小的實證分析。本章通過BAPM模型和CAPM模型計算出每只股票的噪聲交易風險值,從微觀角度考查噪聲交易風險的狀況。同時,說明BAPM模型比CAPM模型在計算資產(chǎn)風險溢價系數(shù)時更合理。 第七章,結(jié)論及政策建議。根據(jù)理論論證和實證結(jié)果分析得出本文的結(jié)論并提出相應(yīng)的政策建議。 本文的結(jié)論有：噪聲交易可以在股票市場中長期生存；我國股票市場與西方成熟國家的股票市場相比,存在著比較嚴重的噪聲交易；牛市期間的噪聲交易比熊市期間的噪聲交易更為明顯；我國個股普遍存在著大小不一,不容忽視的噪聲交易風險。
[Abstract]:With the globalization of the economy, the financial markets of all countries have also entered the era of globalization. The interaction between the real economy and the financial market is becoming more and more obvious. The volatility of the financial market has a great impact on the real economy. Whether it is the historical Holland tulip crisis, the British South Sea crisis and the 1929 US stock market crash, or 2008 The global financial crisis caused by the American subprime crisis has greatly affected the global real economy. The subprime crisis in the United States has not fully recovered the global economy. Countries are still facing high unemployment, low economic growth, monetary tightening, and some countries facing a serious debt crisis. Financial market bubbles. The foam seriously interferes the normal operation of the real economy and affects the steady development of the financial market. Therefore, it is of great significance to maintain the stability of the financial market, reduce the bubble of the financial market, and supervise the behavior of investors for the smooth and rapid development of our country's economy.
The financial bubble and many other anomalies in the market have made the traditional financial theory dominated by the "effective market hypothesis" more and more questioned and challenged. The traditional financial theory can not explain these anomalies. In the complex social environment, the transmission of information will be affected, and it is difficult for investors to keep it at the same time. The decision of the rational person is influenced by many factors. The behavioral finance theory, which combines sociology and psychology with financial theory, has been pursued by many scholars and has developed rapidly. Noise trading is one of the hotspots of behavioral finance theory and also the focus of many scholars. Whether there is a noise transaction, whether the noise transaction can survive for a long time and the size of the noise trading on the market, the study of these questions will be of great theoretical and practical significance to reducing the degree of noise trading in the stock market, reducing the risk of noise trading, maintaining the stability of the stock market and maintaining the efficiency of the market.
This paper firstly explains the market anomalies through the behavioral finance theory, leads to the noise transaction, and fully explains the cause of the noise transaction. Secondly, it proves that the noise transaction can exist in the stock market for a long time through the DSSW model, and then through the comprehensive analysis of the situation of the noise trading and the value of the noise transaction risk in the stock market of our country. Finally, the conclusion is drawn. The contents of each chapter are as follows:
The first chapter, introduction, elaborates the research background and the significance of the topic, and points out the structure, main work and shortcomings of this article.
The second chapter, literature review. Through the review and combing of relevant literature at home and abroad, the relevant literature is divided into three categories according to the purpose of writing, and the research results and research status of noise trading are expounded comprehensively, which lays the foundation for the writing of this article.
In the third chapter, the causes of noise trading and the survival mechanism are analyzed. From the shortcomings of the traditional financial theory, this chapter leads to the behavioral finance theory, and then analyses the cause of the noise transaction in a detailed way from the perspective of behavioral finance theory, and then proves that the noise trader can be self - trading with the rational trader through the DSSW model. We have created the living space and thus exist in the market for a long time. This lays a theoretical foundation for this study.
The fourth chapter is a descriptive analysis of the noise trading in China's stock market. This chapter compares the price earnings ratio, turnover rate and noise factor of the Shanghai and Shenzhen two cities with the corresponding indexes of the western mature financial market, and analyzes the overall situation of the noise trading on the stock market in China.
The fifth chapter is an empirical study on the existence of noise trading in China's stock market. Based on the random walk model, this chapter tests whether the daily return sequence of the Shanghai and Shenzhen two cities conforms to the distribution, and studies the existence of the noise trading in the Chinese stock market.
The sixth chapter, the empirical analysis of the size of the noise trading risk in China's stock market. This chapter calculates the value of the noise transaction risk of each stock through the BAPM model and the CAPM model, and examines the situation of the noise transaction risk from the micro point of view. At the same time, it shows that the BAPM model is more reasonable than the CAPM model in calculating the asset risk premium coefficient.
The seventh chapter, conclusions and policy recommendations. Based on theoretical analysis and empirical results, the conclusions of this paper are obtained and corresponding policy recommendations are put forward.
The conclusion of this paper is that noise trading can survive in the stock market for a long time. Compared with the stock market in mature western countries, there is a relatively serious noise transaction in China's stock market; noise trading during the bull market is more obvious than that during the bear market; there are many different sizes in China's stock market, which can not be ignored. Noise trading risk.
【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.51
本文編號：2130758
[Abstract]:With the globalization of the economy, the financial markets of all countries have also entered the era of globalization. The interaction between the real economy and the financial market is becoming more and more obvious. The volatility of the financial market has a great impact on the real economy. Whether it is the historical Holland tulip crisis, the British South Sea crisis and the 1929 US stock market crash, or 2008 The global financial crisis caused by the American subprime crisis has greatly affected the global real economy. The subprime crisis in the United States has not fully recovered the global economy. Countries are still facing high unemployment, low economic growth, monetary tightening, and some countries facing a serious debt crisis. Financial market bubbles. The foam seriously interferes the normal operation of the real economy and affects the steady development of the financial market. Therefore, it is of great significance to maintain the stability of the financial market, reduce the bubble of the financial market, and supervise the behavior of investors for the smooth and rapid development of our country's economy.
The financial bubble and many other anomalies in the market have made the traditional financial theory dominated by the "effective market hypothesis" more and more questioned and challenged. The traditional financial theory can not explain these anomalies. In the complex social environment, the transmission of information will be affected, and it is difficult for investors to keep it at the same time. The decision of the rational person is influenced by many factors. The behavioral finance theory, which combines sociology and psychology with financial theory, has been pursued by many scholars and has developed rapidly. Noise trading is one of the hotspots of behavioral finance theory and also the focus of many scholars. Whether there is a noise transaction, whether the noise transaction can survive for a long time and the size of the noise trading on the market, the study of these questions will be of great theoretical and practical significance to reducing the degree of noise trading in the stock market, reducing the risk of noise trading, maintaining the stability of the stock market and maintaining the efficiency of the market.
This paper firstly explains the market anomalies through the behavioral finance theory, leads to the noise transaction, and fully explains the cause of the noise transaction. Secondly, it proves that the noise transaction can exist in the stock market for a long time through the DSSW model, and then through the comprehensive analysis of the situation of the noise trading and the value of the noise transaction risk in the stock market of our country. Finally, the conclusion is drawn. The contents of each chapter are as follows:
The first chapter, introduction, elaborates the research background and the significance of the topic, and points out the structure, main work and shortcomings of this article.
The second chapter, literature review. Through the review and combing of relevant literature at home and abroad, the relevant literature is divided into three categories according to the purpose of writing, and the research results and research status of noise trading are expounded comprehensively, which lays the foundation for the writing of this article.
In the third chapter, the causes of noise trading and the survival mechanism are analyzed. From the shortcomings of the traditional financial theory, this chapter leads to the behavioral finance theory, and then analyses the cause of the noise transaction in a detailed way from the perspective of behavioral finance theory, and then proves that the noise trader can be self - trading with the rational trader through the DSSW model. We have created the living space and thus exist in the market for a long time. This lays a theoretical foundation for this study.
The fourth chapter is a descriptive analysis of the noise trading in China's stock market. This chapter compares the price earnings ratio, turnover rate and noise factor of the Shanghai and Shenzhen two cities with the corresponding indexes of the western mature financial market, and analyzes the overall situation of the noise trading on the stock market in China.
The fifth chapter is an empirical study on the existence of noise trading in China's stock market. Based on the random walk model, this chapter tests whether the daily return sequence of the Shanghai and Shenzhen two cities conforms to the distribution, and studies the existence of the noise trading in the Chinese stock market.
The sixth chapter, the empirical analysis of the size of the noise trading risk in China's stock market. This chapter calculates the value of the noise transaction risk of each stock through the BAPM model and the CAPM model, and examines the situation of the noise transaction risk from the micro point of view. At the same time, it shows that the BAPM model is more reasonable than the CAPM model in calculating the asset risk premium coefficient.
The seventh chapter, conclusions and policy recommendations. Based on theoretical analysis and empirical results, the conclusions of this paper are obtained and corresponding policy recommendations are put forward.
The conclusion of this paper is that noise trading can survive in the stock market for a long time. Compared with the stock market in mature western countries, there is a relatively serious noise transaction in China's stock market; noise trading during the bull market is more obvious than that during the bear market; there are many different sizes in China's stock market, which can not be ignored. Noise trading risk.
【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.51
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