中国市场微观结构噪音特征及其定价能力研究被引量：1

On the Characteristics of Microstructure Noise in Chinese Stock Market and its Pricing Ability

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摘要利用上海市场的分笔交易数据考察中国市场上微观结构噪音的特征。结果发现,个股噪音的数量级为10-6,噪音大小与市场走势基本相反,且公司规模越小,噪音水平越高。进一步对噪音的定价能力进行研究,发现噪音对股票收益有很强的解释能力,噪音越大,收益对噪音的风险补偿越多,按照噪音大小构建资产组合可以获得超额收益。 The characteristics of microstructure noise in Chinese stock market arc investigated by using tick-by-tick data of Shanghai stock market. It is found that noise of stocks, with the magnitude 10^-6, is basically opposite to the market trend and the smaller the company is, the higher the noise is. The study on pricing abiiity of noise indicates that noise has significant explanatory power for stock returns and the stocks with big noise get higher risk premium. Hence, excess returns can be obtained by constructing portfolio based on the size of noise.

作者王春峰张颖洁房振明梁崴

机构地区天津大学管理学院

出处《北京理工大学学报（社会科学版）》 CSSCI 2009年第6期48-52,共5页 Journal of Beijing Institute of Technology：Social Sciences Edition

基金国家自然科学基金(70771076) 国家杰出青年基金(70225002)

关键词微观结构噪音摩擦定价风险补偿 microstructure noise friction pricing risk premium

分类号 F830.9 [经济管理—金融学]

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