噪声交易风险引发的套利限制研究

A Study of Index Arbitrary Limits Caused by the Noise Trading Risks

传统的金融学认为:在证券市场中,投资者的套利行为能有效地消除市场中的错误定价。然而,越来越多的实例证实了证券市场中套利这一行为是有限制的。对套利限制这一问题进行了研究,用实证分析的方法证实了噪声交易风险的长期存在性,最后给出了研究结论,并对监管部门提出了相关的政策建议。

The orthodox finance holds that the index arbitrary of investors can effectively avoid the wrong pricing in the securities business.However,more and more instances proved that the arbitrage behavior has its limit.This paper studies this kind of limitation and confirms by empirical analysis the long-term presence of noise trading risk.Finally the author reaches the conclusion and puts forwards some relevant policy recommendations to the regulatory authorities.