上证股市非理性行为的实证分析

An Empirical Analysis on the Irrational Behavior of Shanghai Stock Market

在"新常态"经济环境下,股票市场的繁荣与实体经济的下行形成了显著的背离,随着大批散户投资者进入股市,投资者的非理性行为主导着市场的走向。本文运用行为资产定价模型和横截面绝对偏离度模型对上证股市非理性行为进行实证分析,结果表明上证股票市场存在一定程度的噪音交易风险,在极端低收益行情下存在显著的羊群效应,投资者损失规避心理强度高。监管当局必须警惕不断上升的噪音交易风险,防止市场出现异常波动,引导市场逐步回归理性。

In the ＂new normal＂ economic environment, the prosperity of stock market and downlink of real economy form a significant departure. With the entering of a large number of retail investors into the stock market, the investors irrational behavior dominates the market trend. Based on Behavioral Asset Pricing Model and Cross Sectional Absolute Deviation Model, this paper makes an empirical analysis on the irrational behavior of Shanghai Stock Market. The results show that there exists a certain degree of noise trading risk and also a significant herding effect under the extreme low income market, and investors have high loss aversion strength. Regulating departments must be vigilant against the rising risk of noise trading so as to prevent the occurrence of abnormal market fluctuations and guide the market gradually to return to ration.