我国证券市场正反馈交易的实证检验

Empirical Test of the Positive Feedback Trading in the Stock Market of Our Country

正反馈交易是投资者依据证券t-1期收益高低决定其第t期买卖行为的一种交易策略,这种交易策略广泛存在于世界各国的证券市场中,使证券市场表现出超常的波动性。本文使用上证指数和深证指数对我国证券市场的正反馈交易进行了实证研究,结果显示我国证券市场同样存在显著的正反馈交易现象,这种现象降低了市场的稳定性。

Positive feedback trading is a kind of trading strategy by which investors decide their trading behavior in a certain period of time on the basis of the earnings in the former period of time. This kind of trading strategy exists widely in the stock market around the world and makes the stock market present an abnormal volatility. Using the indices in Shanghai Stock Market and Shenzhen Stock Market this paper makes an empirical study of the positive feedback trading in the stock markets of our country. The findings of the study show that the phenomenon of positive feedback trading exists apparently in Chinese stock markets and this phenomenon decreases the stability of stock markets.