噪音交易影响中国股市效率的实证分析

Empirical Analysis on Noise Trade Influencing the Efficiency of Stock Markets in China

适度的噪音能够增加市场的流动性,但噪音交易的过度存在会对股票市场的效率产生负面的影响。本文借用分形理论的R/S分析法,对中国股市的收益率进行了实证检验,计算其赫斯特(hurst)指数,并与美国和香港的赫斯特指数进行横向比较,以此来分析中国股市的有效性以及噪音交易的程度。

The moderate noise can increase fluidity of capital markets. But the excess noise trade brings adverse influence to the efficiency of stock markets. This article use R/S analytical method in fractal theory to analyze logarithm return in China stock markets. Hurst index in China has been computed and compare^l to the same index in America and Hong Kong. The results offer a way to analyze the efficiency of stock markets in China and the degree of noise trade.