本文關(guān)鍵詞：中國股市噪聲交易實(shí)證研究　出處：《哈爾濱工業(yè)大學(xué)》2013年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 噪聲交易 噪聲交易者風(fēng)險(xiǎn) 正反饋交易 GARCH-M模型 BAPM模型

【摘要】：由于信息不對(duì)稱，政府和投資者的博弈是一種獨(dú)裁者博弈模式，有限理性的噪聲交易者和非完全理性的噪聲交易者占很大的比重，個(gè)人投資者和機(jī)構(gòu)投資者都有從眾心理，我國股市存在著傳統(tǒng)金融理論（CAPM、EMH、MPT）無法解釋的金融異象：由于投資者認(rèn)知偏差造成的從眾心理和“羊群效應(yīng)”，投資者的反應(yīng)過度和反應(yīng)不足以及股票市場(chǎng)上的動(dòng)量效應(yīng)和長期反轉(zhuǎn)效應(yīng)等。本文從我國股市的實(shí)際出發(fā)，利用現(xiàn)代行為金融學(xué)有關(guān)噪聲交易的理論，采用文獻(xiàn)分析法、對(duì)比分析法和實(shí)證分析法對(duì)我國股市噪聲交易的成分、杠桿效應(yīng)和正反饋交易進(jìn)行了實(shí)證研究。 對(duì)噪聲交易的理論進(jìn)行了論述。包括噪聲交易理論的由來，以及噪聲交易的本質(zhì)和內(nèi)涵，并對(duì)噪聲交易的風(fēng)險(xiǎn)和行為機(jī)制進(jìn)行了界定。討論了DSSW模型和噪聲交易者的生成和獲利機(jī)制。討論了BSV、DHS和HS理論，以解釋投資者的反應(yīng)過度和反應(yīng)不足，以及股票市場(chǎng)上的動(dòng)量效應(yīng)和長期反轉(zhuǎn)效應(yīng)。在分析中國股市噪聲交易類型的基礎(chǔ)上，，結(jié)合中國股市的發(fā)展態(tài)勢(shì)分析了中國股市噪聲交易的特殊表現(xiàn)：大幅波動(dòng)、高換手率、受政策影響大等。 研究了我國股市噪聲交易的成分。以方差比檢驗(yàn)（Variance-Ratio Test, VRT）為基礎(chǔ)來構(gòu)造一個(gè)噪聲成分檢驗(yàn)（Noise Composition Test, NCT）指標(biāo)，并以此做縱向分析，考察中國股票市場(chǎng)在股改前和股改后的噪聲成分。同時(shí)以近似全流通的股票和整個(gè)大盤做了橫向比較。 研究了我國股市噪聲交易的杠桿效應(yīng)。我國股票市場(chǎng)存在噪聲交易的行為常常受到政策的干擾。而行業(yè)特征的區(qū)間受到杠桿效應(yīng)影響不同�；跍�300行業(yè)指數(shù)，利用ARMA-GARCH模型分析了滬深的各個(gè)代表性行業(yè)指數(shù)的波動(dòng)性，GARCH（1,1）模型中各行業(yè)的a+均小于1且非常接近1，表明各個(gè)行業(yè)的GARCH過程是寬平穩(wěn)的，行業(yè)的波動(dòng)呈現(xiàn)集聚性和持續(xù)性，外部的沖擊對(duì)條件方差的影響具有持久性。TARCH（1,1）和EGARCH（1,1）模型較好地說明各種外部因素對(duì)各行業(yè)的沖擊影響，表現(xiàn)為杠桿效應(yīng)和非對(duì)稱性效應(yīng)，且模型都消除了ARCH效應(yīng)。這兩個(gè)模型都說明了各行業(yè)間均存在明顯的杠桿效應(yīng)，“利壞消息”沖擊比等量的“利好消息”沖擊會(huì)產(chǎn)生更強(qiáng)的的波動(dòng)。 過度的噪聲交易特別是正反饋交易是引起我國股市大起大落的主要原因。選用包括上證綜合指數(shù)和深圳成分指數(shù)，中小板指數(shù)，滬深300指數(shù)，封閉式基金指數(shù)五個(gè)樣本，采用非對(duì)稱的GARCH-M模型，對(duì)我國股市存在的正反饋交易進(jìn)行了實(shí)證研究。結(jié)果表明我國存在使用正反饋交易策略的噪聲交易者，兩市的日收益與噪聲交易者行為有關(guān)；大盤藍(lán)籌股的上市對(duì)治理噪聲和遏制正反饋交易有積極作用；中小板的正反饋交易最為明顯，其次是封閉式基金，然后是深圳成份指數(shù)、上證指數(shù)、最后是滬深300指數(shù)。 利用資產(chǎn)定價(jià)模型BAPM，以受行政處罰的上市公司為樣本研究過度的噪聲交易。選用2007-2009年內(nèi)受到中國證監(jiān)會(huì)行政處罰的上市公司，從2006年1月到2009年12月的收益率作為分析的樣本，同時(shí)取其對(duì)應(yīng)的同行業(yè)的配對(duì)公司進(jìn)行實(shí)證研究。發(fā)現(xiàn)噪聲交易者風(fēng)險(xiǎn)（NTR）與股票超額收益是顯著負(fù)相關(guān)的，顯著性越高，那么投資者投資此類股票受到損失的可能性越大。 本文在下述幾個(gè)方面有所創(chuàng)新：第一，以VRT為基礎(chǔ)構(gòu)造NCT指標(biāo)，分析了我國股市噪聲交易的特殊性并進(jìn)行了實(shí)證檢驗(yàn)，并利用ARMA-GARCH模型對(duì)我國股市噪聲交易引起的杠桿效應(yīng)分行業(yè)進(jìn)行了實(shí)證研究；第二，建立基于正反饋交易的證券資產(chǎn)收益率均衡模型，并結(jié)合非對(duì)稱的GARCH-M模型對(duì)我國具有代表意義的五個(gè)指數(shù)進(jìn)行了實(shí)證分析；第三，以行為資產(chǎn)定價(jià)模型BAPM為基礎(chǔ)，分三種類型對(duì)受處罰的上市公司的噪聲交易進(jìn)行了的實(shí)證分析。
[Abstract]:Because of the information asymmetry, the game between government and investors is a dictator game mode, noise traders limited rational and non rational noise traders accounted for a large proportion of individual investors and institutional investors have a herd mentality, the stock market of our country exists in traditional financial theory (CAPM, EMH, MPT) cannot explain the financial anomalies because the herd mentality and "herding" caused investors cognitive bias, overreaction and underreaction, momentum effect on the stock market and long-term reversal effect. This article from the reality of our country stock market, the use of modern behavioral finance theory about noise trading, using literature analysis method, analysis method and composition an empirical analysis of noise trading in China's stock market comparison, leverage effect and positive feedback trading by empirical research.
The noise trading theory are discussed. Including the origin of the noise trading theory, and the essence and connotation of noise trading, and risk and behavior mechanism of noise trading are defined. The DSSW model is discussed and the generation of noise traders and the profit mechanism was discussed. BSV, DHS and HS theory, to explain the reaction of investors excessive and inadequate response, and the momentum effect on the stock market and long-term reversal effect. Based on the analysis of the types of noise trading on the stock market China, combining the development trend of the stock market analysis Chinese special table noise trading stock market: Chinese volatility, high turnover rate, affected by the policy and so on.
Study on the noise trading in China's stock market. By variance ratio test (Variance-Ratio Test VRT) as the basis to construct a noise component test (Noise Composition Test, NCT) index, this longitudinal analysis, the stock market in the study Chinese noise components before and after the reform. At the same time to do the comparison approximate full circulation of stocks and the whole market.
Study on the leverage effect of noise trading in China's stock market. China's stock market transactions are often affected by the presence of noise and interference. The policy of industry characteristics by interval leverage different effects. The CSI 300 industry index based on the analysis of the volatility of Shanghai and Shenzhen each representative industry index by the ARMA-GARCH model, the GARCH (1,1) the industry in the a+ model were less than 1 and is very close to 1, showed that the GARCH process of each industry wide is stable, the fluctuations of the industry has concentrated and persistent effects of external shocks to the conditional variance with persistent.TARCH (1,1) and EGARCH (1,1) model can better explain the impact of external factors on the the industry, as leverage effect and asymmetric effect, and the model can eliminate the ARCH effect. The two models are described both leverage effect exists between industries, "bad news" Chong The impact of "good news" than the same amount will produce stronger fluctuations.
Excessive noise trading especially positive feedback trading is the main cause of China's stock market. The change radically including Shanghai Composite Index and Shenzhen component index, small board index, the Shanghai and Shenzhen 300 Index Fund Index closed five samples, using asymmetric GARCH-M model, the existence of China's stock market positive feedback trading empirically the research results show that China's existing. Positive feedback noise traders trading strategy, the two cities daily returns and noise traders' behavior; blue chip listed on the noise control and containment of positive feedback has a positive effect; positive feedback trading of small plates is most obvious, followed by closed-end funds, then the Shenzhen component the index, the Shanghai index, the last is the CSI 300 index.
Use the capital asset pricing model BAPM in the administrative punishment of listed companies as a sample of excessive noise trading. The China Commission administrative punishment listed company is 2007-2009 years, from January 2006 to December 2009, the rate of return as the analysis sample, while taking the same industry should be matched companies to conduct empirical research. It is found that noise trader risk (NTR) and excess stock returns are negatively correlated, significantly higher, so investors investing in such stocks are more likely to suffer losses.
In this paper, some innovation in the following aspects: first, based on the VRT structure of NCT index, analyzes the particularity of noise trading in China's stock market and the empirical test, makes an empirical study on the leverage effect and the use of ARMA-GARCH model of noise trading in China's stock market sector; second, the establishment of rate equilibrium model of positive feedback trading the return of securities based on the index and the combination of five asymmetric GARCH-M model representative of China's empirical analysis; third, the behavioral asset pricing model based on BAPM, an empirical analysis is divided into three types of punishment of the listed company of noise trading.

【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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