本文關(guān)鍵詞： 噪音交易 行為金融學(xué) DSSW模型 股票市場　出處：《西北大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：傳統(tǒng)金融理論認(rèn)為市場中的參與者都是理性經(jīng)濟(jì)人,因此,噪音交易在市場中不會普遍存在。即使存在一部分的噪音交易和噪音投資者,也會由于市場中理性投資者的存在通過優(yōu)勝劣汰的競爭機(jī)制而退出市場。所以,噪音交易和噪音投資者對資本市場的影響微弱。然而,隨著大量市場市場異象的出現(xiàn),對傳統(tǒng)金融理論提出了很大的挑戰(zhàn)。這些現(xiàn)象真實(shí)并且普遍的存在于各國的資本市場,卻與傳統(tǒng)金融理論相矛盾。所以,伴隨著心理學(xué)的引入,以噪音交易為核心的行為金融學(xué)越來越受到各國學(xué)者的重點(diǎn)關(guān)注。 本文在闡述國內(nèi)外學(xué)者對噪音交易領(lǐng)域研究成果的基礎(chǔ)上,針對我國噪音交易現(xiàn)象,闡述噪音和噪音交易概念、噪音交易對價(jià)格偏差的影響,并對以有效市場為核心的傳統(tǒng)金融理論和以噪音交易理論為核心的行為金融學(xué)進(jìn)行比較。在分析基礎(chǔ)概念的基礎(chǔ)上,探討噪音交易的來源——信息質(zhì)量和市場有限理性。這兩個(gè)原因是噪音交易的主導(dǎo)因素。具體到我國股票市場,本文認(rèn)為我國股票市場作為一個(gè)新興的資本市場,本身具有的特殊屬性加重了信息質(zhì)量和市場有限理性,導(dǎo)致我國的噪音交易現(xiàn)象較其他成熟資本市場嚴(yán)重的多。本文分析制度缺陷、投資者結(jié)構(gòu)、政策市等因素造成了我國噪音交易嚴(yán)重的現(xiàn)狀。在理論分析的前提下,本文通過噪音交易DSSW模型的詳細(xì)描述,定量的說明噪音、噪音交易和噪音投資者的市場存在性。 完成這些概念的闡述之后,本文分析噪音交易對金融市場的影響作用。筆者認(rèn)為,噪音交易是一把雙刃劍。正是由于噪音交易的存在,才活躍了資本市場,然而卻使得市場的波動性和穩(wěn)定性受到負(fù)面的影響。為了研究我國噪音交易現(xiàn)狀,本文選取了市盈率、股指振幅和換手率指標(biāo)進(jìn)行統(tǒng)計(jì)分析,通過分析發(fā)現(xiàn),我國噪音交易現(xiàn)象較全球成熟市場過分嚴(yán)重。同時(shí),通過縱向比較發(fā)現(xiàn),由于我國金融市場的客觀環(huán)境發(fā)生了根本性的變化,噪音交易在2010年后有了明顯的改善。 在文章的實(shí)證分析部分,筆者選取了具有接近系統(tǒng)風(fēng)險(xiǎn)的上證50指數(shù)和深證成指,構(gòu)造噪音交易衡量指標(biāo),分析噪音交易與市場波動的相互關(guān)系。結(jié)果證明,二者互為因果關(guān)系且顯著正相關(guān)。同時(shí),通過股指期貨推出前后相同時(shí)間跨度的數(shù)據(jù)實(shí)證結(jié)果比較發(fā)現(xiàn),在股指期貨推出之后,噪音交易和市場波動的相互影響有所減小。本文認(rèn)為這主要是因?yàn)榭陀^市場環(huán)境的變化所導(dǎo)致的。最后,在理論分析和實(shí)證的基礎(chǔ)上,本文針對我國的實(shí)際情況,提出了幾點(diǎn)建議。
[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.
【學(xué)位授予單位】：西北大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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