中国证券市场正反馈交易的实证研究

Empirical Research on Positive Feedback Trading in China stock markets

在Shiller-Sentana-Wadhwani模型的基础上,建立一个不对称EGARCH模型,对我国证券市场正反馈交易行为进行了实证检验。实证发现我国证券市场上显著的一部分投资者为正反馈交易者,不以基本面价值为基础的正反馈交易在市场报酬的形成中起着重要的作用,正反馈交易使市场收益自相关系数与市场波动呈现负向关系,且高波动期间出现负自相关。同时,中国证券市场正反馈交易并不对称,市场下跌期间比上涨期间正反馈交易要明显得多。

In this paper, relying on the theoretical models put forward by Shiller, Sentana and Wadhwani, we provide an empirical research about the positive feedback trading on the return behavior in Chinese stock markets, together with the exponential GARCH model. Our empirical evidence shows that positive feedback traders who do not base their asset decisions on fundamental value are present evidently, seems to play an important role in the emerging of the return in Chinese stock markets. Positive feedback trading can induce inverse relationship between stock return volatility and autocorrelation, and negative autocorrelation during periods of high volatility. We get the result that positive feedback trading is asymmetric in Chinese stock markets, it is more evident after the price fall than the price rise.