| 行为资产定价实证研究:中国股票市场噪声交易者风险测度 |
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| 引用本文： | 李晓渝,苟宇.行为资产定价实证研究:中国股票市场噪声交易者风险测度[J].南开经济研究,2006,41(3):54-67. |
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| 作者姓名： | 李晓渝 苟宇 |
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| 作者单位： | 1. 西南财经大学中国金融研究中心,610074
2. 中国人民银行,100032 |
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| 基金项目： | 在本文的研究过程中,得到了西南财经大学中国金融研究中心陈野华教授和潘席龙副教授的帮助和支持,在此一并表示感谢. |
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| 摘 要： | 本文借鉴行为金融理论在资产定价领域的成果,对国外学者的实证方法进行了理论改进和拓展,并运用上海股票市场的A、B股有关交易数据进行了实证研究,得出结论认为我国股票市场具有很高的噪声交易者风险,从而无法运用CAPM对股票进行有效定价。本文在具体实证过程中使用了相关工程技术软件和计量分析软件进行大规模的数据处理、运算和运算结果计量分析,得出了具有统计和经济意义的分析结果。
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| 关 键 词： | 行为金融 噪声交易 行为资产定价 交易量 |
The Empirical Research of Behavioural Asset Pricing on The Chinese Stock Market: Measurement of The Noise Trader Risk |
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| Li Xiaoyu,Gou Yu.The Empirical Research of Behavioural Asset Pricing on The Chinese Stock Market: Measurement of The Noise Trader Risk[J].Nankai Economic Studies,2006,41(3):54-67. |
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| Authors: | Li Xiaoyu Gou Yu |
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| Abstract: | Based on the behavioural asset pricing theory, this paper makes progress of the empirical research method developed by foreign researcher ,then we make an empirical study of CAPM and BAPM by using the trading data of Chinese stock market and get the conclusion that the noise trader risk on Chinese stock market is so high that CAPM cant evaluate the stocks efficiently on this market. Moreover, we use MATLAB to do massive data processing and operation, then we use Eviews to do econometrical a-nalysis and get some conclusions with statistical and economical senses. |
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| Keywords: | Behavioural Finance Noise Trading Behavioural Asset Pricing Trading Volume |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
