發(fā)布時(shí)間：2018-02-25 05:13

  本文關(guān)鍵詞： 噪音交易 噪音收益 噪音水平 噪音定價(jià) 噪音價(jià)格行為　出處：《天津大學(xué)》2014年博士論文　論文類型：學(xué)位論文

【摘要】：隨著行為金融學(xué)、連續(xù)金融學(xué)、非線性金融、證券市場微觀結(jié)構(gòu)、風(fēng)險(xiǎn)定價(jià)理論與實(shí)證等研究的深入，市場完美與完全的理想假設(shè)被不斷放開與拓展，噪音研究也日益受到更大的重視。噪音的研究主要包含兩方面，一是噪音的存在性及隨之而來的如何識別或估計(jì)問題，二是，如果存在，它對市場的影響如何；一方面其存在破壞了市場有效性，因此，直觀上認(rèn)為其應(yīng)越小越好；另一方面其又是市場存在的重要條件，如果沒有噪音證券市場無利可圖，市場也就無法長期存活。但由于其成份復(fù)雜，測度問題較難解決，因此影響研究也受其限制。因此，本文從噪音研究的兩大問題出發(fā)，首先從交易、收益、水平三個(gè)層次探究噪音測度方法，然后從資產(chǎn)定價(jià)及價(jià)格行為角度探析了其對證券市場的影響。具體來說，本文做了如下工作并形成了相應(yīng)的結(jié)論： 1）通過將噪音交易者引入交易樹擴(kuò)展經(jīng)典的EKOP模型，本文重新構(gòu)建了交易到達(dá)過程，然后，基于泊松到達(dá)理論推演交易到達(dá)過程的單期似然函數(shù)及多期聯(lián)合似然函數(shù)，進(jìn)而得到有效估計(jì)證券市場的噪音交易比例的模型。以HS300樣本股為樣本估計(jì)的估計(jì)結(jié)果表明，中國股票市場2011年1-7月平均噪音交易比例達(dá)0.2432，高于知情交易者比例。同時(shí)，參數(shù)結(jié)果分析表明期間噪音交易者情緒偏樂觀，市場的信息效率不高。 2）通過將噪音因子引入O-U過程，本文構(gòu)建了包含具有均值回復(fù)特征的噪音水平過程的三因子模型。然后，采用Kalman濾波方法并借助EM算法實(shí)現(xiàn)未知參數(shù)估計(jì)和噪音收益度量。最后，對上證綜指（即SH000001）1991年1月4日至2012年2月24日期間的周噪音收益進(jìn)行度量，結(jié)果表明，其噪音收益水平處于-23.00%至83.51%之間，存在右偏及尖峰特征，分析表明投資者理性程度及監(jiān)管是影響噪音收益的重要因素。 3）從證券市場的非線性、確定性及混沌特征角度出發(fā)，本文將信號學(xué)中基于相空間重構(gòu)理論下噪音水平的估計(jì)思想引入證券市場并構(gòu)建了相應(yīng)的估計(jì)模型。以20100104-20101214期間H300指數(shù)為樣本本文檢驗(yàn)了其高頻資產(chǎn)價(jià)格時(shí)間序列數(shù)據(jù)的非線性、確定性及混沌特征，，在此基礎(chǔ)上估計(jì)了其日噪音水平，估計(jì)結(jié)果表明H300指數(shù)期間噪音處于21.55-65.40%之間，且噪音水平存在右偏及扁平特征，與資產(chǎn)價(jià)格走勢及市場信息之間可能存在復(fù)雜的關(guān)系。 4）在充分梳理資產(chǎn)定價(jià)理論與模型的基礎(chǔ)上，本文借鑒MPT、CAPM、APT、LAPM、BAPM的思想及其結(jié)論，同時(shí)效仿Fama-French三因素模型的做法的基礎(chǔ)上構(gòu)建新的融入噪音的CAPM模型（NAPM）。并采用NAPM模型考察了中國股票市場的噪音定價(jià)情況。以HS300指數(shù)成分股為樣本的實(shí)證結(jié)果表明，在中國股市中，噪音風(fēng)險(xiǎn)具有較強(qiáng)的正定價(jià)能力，且噪音水平越高的股票能得到更多的風(fēng)險(xiǎn)補(bǔ)償。 5）最后，本文采用包含噪音與能夠反映市場質(zhì)量的價(jià)格行為指標(biāo)的動(dòng)態(tài)面板VAR模型去探究證券市場噪音與價(jià)格行為之間的真實(shí)動(dòng)態(tài)關(guān)系。以HS300成份股為樣本的實(shí)證研究表明，噪音與價(jià)格行為之間存在復(fù)雜的動(dòng)態(tài)關(guān)系，噪音與非流動(dòng)性及信息不對稱成正相關(guān)，與波動(dòng)率及交易量成反比，但在噪音形成初期關(guān)系可能不穩(wěn)定。
[Abstract]:With the study of behavioral finance , continuous finance , non - linear finance , security market microstructure , risk pricing theory and demonstration , the study of noise is more and more attention . The research of noise mainly includes two aspects , one is the existence of noise and how to identify or estimate the problem . 1 ) The transaction arrival process is reconstructed by introducing the noise trader into the classical ekOP model of the transaction tree , and then , based on the arrival theory of Poisson arrival , the single - phase likelihood function and the multi - period joint likelihood function of the transaction arrival process are reconstructed , and then the model of effective estimation of the noise trade ratio of the security market is obtained . 2 ) By introducing the noise factor into the O - U process , this paper constructs a three - factor model containing the noise level process with the mean reversion feature . Then , using the Kalman filter method and using the EM algorithm to implement the unknown parameter estimation and the noise income measure , the results show that the noise income level lies between - 23.00 % and 83.51 % , and the right deviation and the peak characteristic exist . The analysis indicates that the investor ' s rational degree and regulation are the important factors that affect the noise income . 3 ) Based on the nonlinear , deterministic and chaotic characteristics of the security market , this paper introduces the idea of noise level under the theory of phase space reconstruction into the security market and constructs the corresponding estimation model . Based on this , the nonlinear , deterministic and chaotic characteristics of the high frequency asset price time series data are tested . The results show that the noise is between 21.55 and 65.40 % during the H300 index , and the noise level has right and flat characteristics , and there may be a complex relationship between the price trend of the asset and the market information . 4 ) Based on fully combing the theory and model of asset pricing , this paper uses the ideas and conclusions of MPT , CAPM , APT , LAPM , BAPM and constructs a new CAPM model ( NAPM ) based on the practice of Fama - French three - factor model . 5 ) Finally , a dynamic panel VAR model containing noise and price behavior index which can reflect the market quality is used to explore the real dynamic relationship between the noise and price behavior of the stock market . The empirical research on HS300 as a sample shows that there is a complex dynamic relationship between the noise and price behavior , and the noise and the non - liquidity and the information asymmetry are positively correlated , which is inversely proportional to the fluctuation rate and the transaction amount , but may not be stable at the early stage of noise formation .

【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前2條

1 楊勝剛;行為金融、噪聲交易與中國證券市場主體行為特征研究[J];經(jīng)濟(jì)評論;2002年04期

2 劉慶斌;姜薇;;中國股市微觀結(jié)構(gòu)噪音與流動(dòng)性關(guān)系研究[J];統(tǒng)計(jì)與決策;2009年20期

本文編號：1533126