市场分割下中国股市反馈交易实证研究——来自A股、B股和H股市场的经验证据

发布时间：2018-04-18 22:32

本文选题：反馈交易 + 市场分割　；参考：《技术经济与管理研究》2014年09期

【摘要】：文章在行为资本资产定价模型(BCAPM)的基础上,通过借鉴Watanabe(2002)的方法,建立了GJR-GARCHM(1,1)-M模型,充分考虑中国股票市场处于分割状态的现状,使用基本覆盖A股、B股和H股市场全部交易历史的市场指数日收盘价数据,对A股、B股和H股市场的反馈交易行为进行研究和比较,结果显示:A股和B股市场都存在显著的正反馈交易效应,反馈交易行为主要取决于波动率水平和市场涨跌两个因素;与成熟股票市场类似,H股和红筹股市场的正反馈交易行为不显著;A股市场的反馈交易行为受市场涨跌因素影响更大,而B股市场的反馈交易行为主要由波动率水平决定;深市比沪市更容易出现正反馈交易者主导市场的现象。文章的研究不仅对行为资本资产定价理论的成立提供了经验性证据,而且对投资经理的实践操作和政策制定者的监管调控都具有一定的参考价值。
[Abstract]:Based on the behavioral capital asset pricing model (BCAPMM) and using the method of Watanabein 2002 for reference, this paper establishes the GJR-GARCHM model, which fully considers the current situation of the Chinese stock market in a segmented state.Using the data of the daily closing price of the market index, which basically covers the trading history of A-shares, B-shares and H-shares, the feedback trading behavior of A-shares, B-shares and H-shares is studied and compared.The results show that both A-share and B-share markets have significant positive feedback trading effects, and the feedback trading behavior mainly depends on the volatility level and the market fluctuation.Similar to the mature stock market, the positive feedback trading behavior of H shares and red chips markets is not significant, the feedback trading behavior of A share market is more affected by market fluctuation factors, while the feedback trading behavior of B share market is mainly determined by volatility level.Shenzhen is more likely than Shanghai to have positive feedback traders dominating the market.The research in this paper not only provides empirical evidence for the establishment of behavioral capital asset pricing theory, but also has certain reference value for the practice of investment managers and the regulation and control of policy makers.
【作者单位】：对外经济贸易大学国际经济贸易学院;
【基金】：对外经济贸易大学211工程第四期项目(XK2014105)
【分类号】：F224;F832.51

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