【作者】 乔立娟；

【导师】 张筱峰；

【作者基本信息】 长沙理工大学 ， 统计学， 2005， 硕士

【摘要】 在标准金融理论中,噪声交易不会对证券价格产生影响,因为有效市场假说中的噪声只是一个均值为零的随机扰动项,随着时间的推移,证券价格会趋近于内在价值,噪声会逐渐消失,同时非理性交易者会在市场选择机制中遭到理性交易者的套利而退出市场,最终由理性交易者主导市场。但是近年来金融市场中的各种异常现象和投资者的非理性实验均证实非理性交易者的行为可以对证券市场产生影响,因此以投资者有限理性为前提假设的噪声交易理论被引入到金融市场中来。 本文以证券市场中的噪声交易为主题,在全面引证和评述相关金融学文献的基础之上,将证券市场噪声交易分为信息偏差型噪声交易、认知偏差型噪声交易和市场操纵型噪声交易,并对信息偏差和市场操纵型噪声交易的获利机制进行了详细阐述,同时还利用博弈分析进一步论证了噪声交易者的生存机制。存在于中国证券市场上的噪声与金融理论中的噪声没有本质上的区别,因此本文针对三种不同的噪声形成机制,分析了中国证券市场上的噪声交易现状,并对中国证券市场噪声交易现状和噪声交易对证券资产价格的影响进行了实证分析。 本文研究的结论主要有:(1) 关于中国证券市场噪声交易的存在性。通过四项主要指标的检验均证实中国证券市场上的噪声交易远比发达国家严重,导致整个证券市场效率低下。(2) 关于中国证券市场噪声交易对证券价格的影响力。通过利用行为资产定价模型的检验可以得出在较长的时期内交易较为活跃的股票均不同程度地受到噪声交易的影响。 本文的不足之处是利用行为资产定价模型验证噪声交易对中国证券市场的影响时无法找到精确的行为资产组合,而选择深圳成分指数作为替代,因此对模型的精确度产生了一定的影响。而寻找真实市场中的均值—方差有效前沿的组合将是噪声交易理论运用于证券资产定价的主要研究方向之一,也是作者以后的重点研究课题。更多还原

【Abstract】 In the standard finance theory, noise trading can not influence the price in security market. Because the noise in the Efficient Market Hypothesis is a random error term with a mean of zero, and the security price will incline to its value as time goes on, then the noise will disappear, at the same time the noise traders will retreat form the security market in the alternative market mechanisms, at last it is the rational traders dominant the security market. But in resent years, both the anomalies in security market and the irrational tests on the investors all confirm that the trading of irrational investor can influence the price in security market, so the noise theory which use the investor bounded rationality as its hypothesis is introduced into the finance market.The thesis is a formal investigation on the noise trading in security market. On the basis of an overall citation and review the related finance literature, the noise trading is categorized as information-biased noise trading, cognitive-biases noise trading and manipulation-based noise trading. The thesis not only elaborates the information-biased noise trading and manipulation-based noise trading model, also uses the game theory to analysis the survival mechanisms of noise traders. The noise phenomenon in China’s security market is not different form those in the finance theory, so the thesis aims at three kinds of noise trading to analysis China’s current situations of noise securities trading, and does a empirical investigation about the noise trading status and the influence of noise trading on the securities’ price.By the empirical investigation, we draw two conclusions: The first one is about the existence of noise trading. We can find that the noise trading in China’s security market is more serious than developed market in the duration, range and degree, and too much of noise trading lowers the efficiency of security market. The second one is about the influence of the noise trading on security market. By the test of the Behavioral Assets Pricing Model we can find that in a long time the securities that has higher liquidity all have noise trader risk.But the construction of the Behavioral Portfolio is complicated, and due to limitation of the author, the ShenZhen component index is used as a substitute to the Behavioral Portfolio, so the precision of the model will be influenced. So the construction of the Mean-Variance Portfolio of real market will be studied deep-seated in the future.更多还原