中国股票市场噪声交易风险实证研究

发布时间：2018-07-17 19:52

【摘要】：随着经济的全球化发展,各国的金融市场也进入全球化时代,实体经济与金融市场的相互作用也越来越明显,金融市场的波动对实体经济的影响非常大。无论是历史上的荷兰郁金香危机,英国南海危机和1929年美国股市大崩盘,还是2008年由美国次贷危机引发的全球金融危机都对全球的实体经济产生了巨大影响。美国的次贷危机使得全球经济到现在都没有完全恢复,各国现在依然面临着高失业率、低经济增长、货币紧缩,有的国家还面临着严重债务危机。金融市场的泡沫严重干扰了实体经济的正常运行,也影响了金融市场的平稳发展。因此,维持金融市场稳定,减少金融市场泡沫,监督投资者行为对我国经济的平稳快速发展有着重要意义。金融泡沫和市场上出现的许多其他异象使得以“有效市场假设”为主导的传统金融理论受到了越来越多的质疑和挑战。传统金融理论无法解释这些异象,在错综复杂的社会环境中,信息的传递会受到影响,同时投资者也很难一直保持理性人的状态,其做出的决策会受到很多因素的影响。行为金融理论把社会学和心理学与金融理论结合在一起受到了许多学者的追捧,也得到了迅速发展。噪声交易作为行为金融理论的热点之一,也是许多学者研究的重点。股票市场上是否存在噪声交易,噪声交易是否能够长期生存以及市场上噪声交易的大小,对这些疑问进行研究,将对减少我国股票市场上噪声交易的程度、化解噪声交易风险、维持股票市场稳定、保持市场效率有重要的理论意义和现实意义。本文首先通过行为金融理论对市场异象的解释,引出噪声交易,充分解释了噪声交易产生的原因；其次通过DSSW模型证实了噪声交易可以长期存在于股票市场中,然后通过全面分析我国股票市场噪声交易存在的情况和噪声交易风险值；最后得出研究结论。各章的内容如下：第一章,引言。阐述本文的研究背景和选题意义,并指出本文的结构安排、主要工作和不足之处。第二章,文献综述。通过对国内外相关文献进行回顾和梳理,将相关文献按写作的目的分成了三类,全面阐述了噪声交易的研究成果和研究现状,为本文写作奠定了基础。第三章,噪声交易成因及生存机制分析。本章从传统金融理论的不足,引出行为金融理论,再从行为金融理论的角度,从理论上详细地分析了噪声交易产生的原因；然后通过DSSW模型证实噪声交易者在与理性交易者进行交易时能够为自己创造生存空间,从而长期存在于市场之中。这为本文研究奠定了理论基础。第四章,中国股市噪声交易的描述性分析。本章主要将沪深两市的市盈率、换手率和噪声系数指标与西方成熟金融市场的相应指标进行对比,分析我国股票市场上噪声交易的整体情况。第五章,中国股票市场噪声交易存在性的实证研究。本章依据随机游走模型,检验沪深两市日收益率序列是否符合分布情况,从实证研究中国股票市场噪声交易的存在状况。第六章,中国股票市场噪声交易风险大小的实证分析。本章通过BAPM模型和CAPM模型计算出每只股票的噪声交易风险值,从微观角度考查噪声交易风险的状况。同时,说明BAPM模型比CAPM模型在计算资产风险溢价系数时更合理。第七章,结论及政策建议。根据理论论证和实证结果分析得出本文的结论并提出相应的政策建议。本文的结论有：噪声交易可以在股票市场中长期生存；我国股票市场与西方成熟国家的股票市场相比,存在着比较严重的噪声交易；牛市期间的噪声交易比熊市期间的噪声交易更为明显；我国个股普遍存在着大小不一,不容忽视的噪声交易风险。
[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.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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