噪音交易对中国股票市场波动影响的研究

发布时间：2018-02-04 03:00

本文关键词： 噪音交易行为金融学 DSSW模型股票市场　出处：《西北大学》2013年硕士论文　论文类型：学位论文

【摘要】：传统金融理论认为市场中的参与者都是理性经济人,因此,噪音交易在市场中不会普遍存在。即使存在一部分的噪音交易和噪音投资者,也会由于市场中理性投资者的存在通过优胜劣汰的竞争机制而退出市场。所以,噪音交易和噪音投资者对资本市场的影响微弱。然而,随着大量市场市场异象的出现,对传统金融理论提出了很大的挑战。这些现象真实并且普遍的存在于各国的资本市场,却与传统金融理论相矛盾。所以,伴随着心理学的引入,以噪音交易为核心的行为金融学越来越受到各国学者的重点关注。本文在阐述国内外学者对噪音交易领域研究成果的基础上,针对我国噪音交易现象,阐述噪音和噪音交易概念、噪音交易对价格偏差的影响,并对以有效市场为核心的传统金融理论和以噪音交易理论为核心的行为金融学进行比较。在分析基础概念的基础上,探讨噪音交易的来源——信息质量和市场有限理性。这两个原因是噪音交易的主导因素。具体到我国股票市场,本文认为我国股票市场作为一个新兴的资本市场,本身具有的特殊属性加重了信息质量和市场有限理性,导致我国的噪音交易现象较其他成熟资本市场严重的多。本文分析制度缺陷、投资者结构、政策市等因素造成了我国噪音交易严重的现状。在理论分析的前提下,本文通过噪音交易DSSW模型的详细描述,定量的说明噪音、噪音交易和噪音投资者的市场存在性。完成这些概念的阐述之后,本文分析噪音交易对金融市场的影响作用。笔者认为,噪音交易是一把双刃剑。正是由于噪音交易的存在,才活跃了资本市场,然而却使得市场的波动性和稳定性受到负面的影响。为了研究我国噪音交易现状,本文选取了市盈率、股指振幅和换手率指标进行统计分析,通过分析发现,我国噪音交易现象较全球成熟市场过分严重。同时,通过纵向比较发现,由于我国金融市场的客观环境发生了根本性的变化,噪音交易在2010年后有了明显的改善。在文章的实证分析部分,笔者选取了具有接近系统风险的上证50指数和深证成指,构造噪音交易衡量指标,分析噪音交易与市场波动的相互关系。结果证明,二者互为因果关系且显著正相关。同时,通过股指期货推出前后相同时间跨度的数据实证结果比较发现,在股指期货推出之后,噪音交易和市场波动的相互影响有所减小。本文认为这主要是因为客观市场环境的变化所导致的。最后,在理论分析和实证的基础上,本文针对我国的实际情况,提出了几点建议。
[Abstract]:Traditional financial theory holds that participants in the market are rational economic people, so noise trading is not common in the market, even if there is a part of noise trading and noise investors. The presence of rational investors in the market also leaves the market through a competitive mechanism of survival of the fittest. Therefore, noise trading and noise investors have little influence on the capital market. With the emergence of a large number of market anomalies, the traditional financial theory has put forward a great challenge. These phenomena are real and common in the capital markets of various countries, but contradictory with the traditional financial theory. With the introduction of psychology, behavioral finance with noise trading as the core has been paid more and more attention by scholars all over the world. Based on the research achievements of domestic and foreign scholars in the field of noise trading, this paper expounds the concept of noise and noise trading and the impact of noise trading on price deviation in view of the phenomenon of noise trading in China. And compare the traditional financial theory with the efficient market as the core and the behavioral finance with the noise trading theory as the core. On the basis of analyzing the basic concept. This paper discusses the source of noise trading-information quality and market limited rationality. These two reasons are the dominant factors of noise trading. This paper holds that as a new capital market, the stock market of our country has its own special attributes that aggravate the quality of information and the limited rationality of the market. The noise trading phenomenon in China is much more serious than that in other mature capital markets. This paper analyzes the institutional defects and investor structure. The policy market and other factors have caused the serious status of noise trading in China. Based on the theoretical analysis, this paper quantitatively describes the noise through the detailed description of the noise trading DSSW model. Noise trading and market presence of noise investors. After the elaboration of these concepts, this paper analyzes the impact of noise trading on financial markets. The author believes that noise trading is a double-edged sword. It is because of the existence of noise trading that the capital market is active. However, the volatility and stability of the market are negatively affected. In order to study the current situation of noise trading in China, this paper selects the index of price-earnings ratio, stock index amplitude and turnover ratio to carry on statistical analysis, and finds out through the analysis. The phenomenon of noise trading in China is more serious than that in the mature global market. At the same time, it is found that the objective environment of our financial market has changed fundamentally because of the longitudinal comparison. Noise trading improved markedly after 2010. In the part of empirical analysis, the author selects the Shanghai Stock Exchange 50 Index and Shenzhen Stock Exchange Index, which are close to systemic risk, to construct the noise trading index. This paper analyzes the relationship between noise trading and market volatility. The results show that the two are causality and significant positive correlation. At the same time, the empirical results of the same time span before and after the introduction of stock index futures are compared and found. After the introduction of stock index futures, the interaction between noise trading and market volatility has been reduced. This paper believes that this is mainly due to the changes in the objective market environment. Finally, on the basis of theoretical analysis and empirical analysis. According to the actual situation of our country, this paper puts forward some suggestions.
【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】