| 股改前后中国股市噪声比较分析 |
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| 引用本文： | 王苏生,李为.股改前后中国股市噪声比较分析[J].广东金融学院学报,2010,25(1). |
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| 作者姓名： | 王苏生 李为 |
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| 作者单位： | 哈尔滨工业大学深圳研究生院,广东,深圳,518055 |
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| 摘 要： | 以方差比检验(Variance-ratio test,VRT)为基础,构造一个噪声成分检验指标(Noise composition test,NCT),并以此做纵向分析,考察中国股票市场在股改前和股改后的噪声成分;同时,以40支近似全流通的股票和整个大盘做横向比较,得出的结论是:股权分置是噪声的重要来源,而股权分置改革和全流通有效地抑制了非理性因素和噪声。
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| 关 键 词： | 噪声 股权分置 NCT |
Comparative Empirical Study on Noise of China's Stock Market before and after Its Reform |
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| Wang Susheng,Li Wei.Comparative Empirical Study on Noise of China''s Stock Market before and after Its Reform[J].Journal of Guangdong University of Finance,2010,25(1). |
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| Authors: | Wang Susheng Li Wei |
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| Institution: | 1.Shenzhen Graduate School;Harbin Institute of Technology;Shenzhen 518055;China;2. Guangzhou Branch;IBM China Ltd.;Guangzhou 510620;China |
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| Abstract: | Many scholars at home and abroad have analyzed measurement and sources of noise, but few scholars have pointed out that China's specific equity division is an important reason for the phenomenon of noise and noise traders in China's stock market. Starting from this new perspective, based on variance-ratio test (VRT), this paper constructs a noise composition test (NCT), and thus carries out longitudinal analysis to study the noise composition before and after the share reform in China's stock market; at the... |
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| Keywords: | noise equity division NCT |
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