中国股市噪音成分及影响因素检验被引量：6

The Noise Composition and Its Determined Factors: Evidence from China's Stock Markets

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摘要本文以方差比检验为基础来构造一个噪音成分检验(NCT)指标,并针对中国股市进行检验,然后进一步结合年度和季度数据从市场面和财务面探讨影响股价噪音成分的因素。结果发现中国股市存在显著异于零的噪音交易成分;信息不对称、市场情绪、规模和换手率对噪音成分有显著的影响;股权结构、交易成本与噪音交易成分的关系较为模糊;在中长期内,机构投资者持有与是否有发行B/H股等套利机制则对噪音交易成分有显著影响。此外,对于部分不符合直觉的结果,如换手率,本文结合代理变量的设计和中国股市的情况进行了分析。 This paper advocates a noise composition test index and uses the quarterly data in Chinese Stock Market to test the factors that affect the noise composition. The results show that 1） there are no significant difference between different year and industry; 2） the asymmetric information, size and market sentiment have positive relations with the noise, the turnover has negative relations with the noise, the share structure, whether hold by common fund or public the B/H shares have no significant relations with the noise composition.

作者孔东民

机构地区华中科技大学经济学院金融系

出处《南方经济》北大核心 2007年第1期39-52,共14页 South China Journal of Economics

基金广东省自然科学基金项目资助项目编号:0400975

关键词方差比噪音成分检验 AR (1)-Panel DATA Variance-ratio Noise Composition AR （1）-Panel Data Regression

分类号 F830.39 [经济管理—金融学]

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参考文献21

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二级参考文献15

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