| 中国股市噪音成分的表现及原因 |
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| 引用本文： | 曲圣宁.中国股市噪音成分的表现及原因[J].特区经济,2011(9):121-122. |
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| 作者姓名： | 曲圣宁 |
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| 作者单位： | 华中科技大学经济学院,湖北武汉430074 |
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| 摘 要： | 本文根据噪音交易理论描述了噪音的本质,并描述了中国股票市场上噪音的各种表现,包括引起投资者构成以中小投资者为主,以及用EGARCH模型来描述收益率波动受"利好"和"利空"冲击的不对称性。进而,从信息不对称以及投资者行为偏误的角度,对噪音产生以及能够在中国股市长期存在的的原因进行了论述。
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| 关 键 词： | 噪音 中国股市 信息不对称 投资者行为偏误 |
China stock noise factor's performing and reason |
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| Abstract: | we analyze the nature of the noise on the basis of Noise-Trading Theory,and describe the pattern of the noise in China stock market.We find most of the investors in the market are medium and small ones,and by use of EGARCH model,we can also conclude that the impact of good and bad news to the fluctuation of the market return is asymmetric.Then,we discuss the source of the noise and why it can long live in China stock market from the view of information asymmetry and investor behavior bias. |
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| Keywords: | Noise China Stock market Informaction asymmetry Investor behavior bias |
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