正反馈交易视角下中国股市噪声的实证研究

Empirical study of positive feedback trading in China's stock noise market

为了探究中国证券市场是否存在噪声交易以及在不同市场形态中的表现形式,引入理性交易者和正反馈交易者,构建一个由它们共同作用的证券资产收益率均衡模型,结合非对称的GARCH-M模型,对上证综合指数、深圳成分指数、中小板指数、沪深300指数和封闭式基金指数5个样本进行了正反馈交易研究。分析认为:沪深两市的日收益与噪声交易者行为有关;大盘蓝筹股的上市对治理噪声和遏制正反馈交易有积极作用;中小板指数的正反馈交易最为明显,其次依次为封闭式基金指数、深圳成分指数、上证综合指数和沪深300指数;应该开发更多的适合长线投资的指数基金来稳定股市并恢复封闭式基金的发行。

In order to explore China＇s securities market and the existence of noise traders in different markets in their forms,this paper selects five most representative market indexes to do the empirical research and uses GARCH-M model to test the positive feedback trading strategies in China＇s stock market.The conclusion shows that the noise traders really exist in China＇s security market,and IPO of blue chip companies has a positive effect on controlling noise trading and positive feedback trading.The small and medium-sized panels have the most obvious positive feedback trading,and then followed by closed-end funds,the Shenzhen component index,the Shanghai composite index,and finally the Shanghai and Shenzhen 300 index.It indicates that more index funds should be developed,which can be suitable for long-term investment to stabilize the market and restore the issue of closed-end funds.