噪音交易与股价过度波动:理论与中国经验分析

中国股市股票价格的波动性过大,引起这种现象的一个重要原因是噪音交易的存在和频繁发生。本文采用事件分析法,随机抽取了上海A股市场的近200种股票作为样本,通过构建正反馈交易的"涨幅组合",对噪音交易者投资的累积异常收益率进行检验。结果表明:股市过度波动与噪音交易频繁有密切的联系;噪音交易者通常要承受巨大的风险,但其投资收益率一般情况下却为负。

Noise Trade and Excess Volatility of Stock Prices: Theory and Empirical Analysis in China

The volatility of stock prices is excessively acute in China. One of the important reasons causing the above phenomena is the existence and frequent occurrence of noise trade. Conducting with the method of event study, this article chooses randomly about 200 stocks as samples in Shanghai A share market and calculates the cumulated abnormal return of noise traders by constructing the markup portfolios of positive feedback trading. The conclusions of empirical analysis are that the excess volatility of stock prices is related nearly on noise trade and noise traders gain negative returns generally in despite of them enduring tremendous risks.