中国股市自相关性与反馈交易行为实证研究被引量：12

Empirical Evidence on Autocorrelation and Feedback Trading Behavior in China Stock Market

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摘要本文通过对股市内不同类型交易者的行为进行分析,利用Watanabe(2002)的模型,对中国股市交易者的反馈交易行为进行了实证检验。结果表明:股市的波动率与自相关性之间具有反向的变动关系;股市收益在价格下降时,比价格上升时更具有负自相关性;股市中存在着正反馈交易行为,而且波动率越大,正反馈交易越显著。 According to the analysis of different kinds of traders in stock market ,this paper uses the theoretical models put forward by Watanabe （2002） and provides an empirical research about the feedback trading behavior in Chinese stock market. Our empirical evidence shows that：the autocorrelation coefficient is decreasing in the volatility;the stock returns are more negatively autocorrelated after price declines than after price rises ;there is positive feedback trading behavior and the behavior shows significantly if volatility of stock market fluctuates more violently.

作者汪孟海周爱民

机构地区南开大学金融学系

出处《南开经济研究》 CSSCI 北大核心 2009年第3期63-72,共10页 Nankai Economic Studies

基金国家社科基金项目:股市价格泡沫的度量与理性扩容速度的行为金融学研究(05BJL027)的一部分

关键词反馈交易异常波动 GJR-GARCH 自相关性 Feedback Trading Abnormal Fluctuation GJR-GARCH Autocorrelation

分类号 F224 [经济管理—国民经济] F832.51 [经济管理—金融学]

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参考文献13

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