中国股市噪音交易研究

1、.PAGE . 中国股市噪音交易研究20世纪80年代以来，以资本资产定价模型CAPM和有效市场假说EMH为代表的标准金融理论面临着理论与实践上的重大挑战，随着认知心理学中个体行为偏差的研究引入金融经济学以及信息经济学的开展，行为金融学派应运而生并不断地开展壮大。与标准金融理论不同的是，行为金融学建立在有限理性和有限套利两个假设根底之上，构建了一套能够正确反映投资者实际决策行为和市场运行状况的描述性模型来讨论投资者实际上是如何决策的，证券市场上的价格是如何确定的，因而对于证券市场的异常现象具有更强的解释力。行为金融学的开展大体上遵循两条路线，一是研究行为心理学在金融市场上的直接运用；二是研究非理

2、性行为对市场总体行为的影响，在这一方面最主要的就是噪音交易理论。作为一个兼具新兴和转轨双重特征的资本市场，中国股市具有典型的非有效和非理性特征，大量与公司根本面无关的信息主导着市场。许多研究者通过大量的实证分析证明中国股市投资者普遍存在着 “代表性偏差、“羊群效应、“追涨杀跌等表现特点；除了投资者行为存在偏差之外，上市公司、中介机构甚至于政府的行为也都不同程度地存在着非理性的偏差，这些微观主体的行为会对投资者行为结果产生重要的影响。这些现象说明，在中国股市上与根本面无关的噪音泛滥，噪音交易主导市场，其结果是股价形成机制扭曲，股市波动幅度增大，股市效率降低，股市泡沫膨胀，股市风险积聚。基于寻求股

3、市开展的矛盾根源，深刻认识股票市场的功能定位和运作机制，防金融风险和金融危机，推动股市开展和完善的目的，本文在全面引证和评述相关金融学文献的根底之上，以中国股市的噪音交易为切入点和主题，对噪音交易的表现、噪音交易的形成机理、噪音交易的影响和矫正噪音交易的政策措施等问题进展了深入地探讨，全文除导言外，可以分为七章：第一章提出了噪音交易研究的理论根底。本章首先回忆了马克思主义和行为金融学的相关理论，在此根底上提出了股市噪音交易的分析框架，逐级厘清了噪音、噪音交易、噪音交易者、噪音交易者风险等相关概念在噪音交易理论中的含义，对噪音交易的二重性和噪音交易者的获利机制和生存机制进展了分析，然后着重对噪音

4、交易产生的一般原因进展了科学的分类和详细地论述，以此作为研究的起点。第二章分析中国股市噪音交易的特殊表现。从中国股市开展的态势出发，收集了中国股票市场的具体数据，从噪音交易的特殊类型、噪音交易活泼程度的统计特征来说明中国股市噪音交易的表现程度，并运用行为资产定价模型对中国股市噪音交易的活泼程度进展了实证的检验；然后从噪音交易者的特殊构成、噪音交易者的生存状况等方面探讨了噪音交易者的现状，以此来说明研究噪音交易的必要性。第三章研究了中国股市噪音交易形成的部机理，即市场参与主体的行为偏差。由于参与者自身的有限理性，导致他们产生启发式偏差和框架依赖等认知和行为偏差，而这正是形成噪音交易的最直接原因。

5、具体到我国股市，这些行为偏差表现在投资者的羊群行为、幕交易、市场操纵、过度投机、短期行为等；上市公司的过度融资、并购重组、关联交易、信息披露、股利分配等行为上；除此之外，中介机构和政府部门的行为偏差也是导致噪音交易形成的重要来源。第四章进一步探讨中国股市噪音交易形成的外部机理，即市场制度约束。制度在金融市场中是规投资者行为的约束条件，这些约束条件肯定对投资者认知和行为产生种种影响。本章分析了制度安排通过影响信息排列方式和信息呈现背景而加深了投资者系统的认知和行为偏差，导致制度性噪音的产生。而在转型期中国股票市场的制度约束主要包括市场分割制度、股权分置制度、卖空制度、信息披露制度、不完全退市制度

6、、市场开放制度等。第五章和第六章主要研究了噪音交易对股票市场产生的负面影响。噪音交易对股市的影响首先表达在价格上，第五章分析了噪音交易对股票价格机制的影响，从理论上分析了噪音交易背景下的股票价格形成机制和股票价格的过度波动，并分别运用计量分析法和事件分析法对中国股市存在的IPO折价、封闭式基金折价和股价过度波动等现象进展了实证的分析。第六章则主要探讨噪音交易对股票市场有效性的深层次影响，由于噪音交易的过度活泼，致使中国股市的效率降低，非理性泡沫滋生膨胀，并且还形成了一种新的股市风险基于投资者行为的风险，这些负效应导致股票市场有效性被大大削弱，本章从理论和实证两方面做出了说明。第七章提出了本文的

7、结论和噪音交易的矫正对策，指出持续制度创新、培育理性市场主体、规政府监管行为应作为矫正噪音交易的重要措施，而投资者利益的保护应始终放在股市开展的重要地位。本文的研究得出的结论主要集中有以下几个方面：第一，本文认为“噪音是指不能正确反映证券的根本面，而使证券的市场价格不同程度地偏离其在价值的扭曲的、虚假的信息，或者“无信息；噪音交易是指一切使得证券价格偏离其在价值的交易；噪音交易的涵非常广泛，不仅包括一局部投资者由于获取、选择、分析信息的能力有限，而只能以噪音为根底进展的交易；也包括一些掌握有部信息的投资者为了赚取更多的利润，而主动进展的个体理性而集体非理性的交易。这种噪音交易同时也可以看作是市

8、场操纵者的一种主动投机策略。因此，噪音交易者的畴也并不仅限于有限理性的个人投资者，机构投资者和拥有幕信息的投资者也是潜在的噪音交易者，在一定条件下，他们也会主动地进展噪音交易。第二，本文将噪音交易产生的一般原因归纳为行为偏差、信息不对称、委托-代理关系和市场操纵四类，并对每一类原因如何导致噪音交易形成进展了深入的剖析。本文认为受价值取向、目标多元性、情绪和个性等因素的影响，现实中的投资者是介于理性和非理性之间的一种有限理性，市场参与者的有限理性所导致的价值判断和交易决策同理性交易行为的偏差是引起噪音交易的主要原因之一；信息获取的不对称或信息处理能力的有限性致使噪音交易者只能以他们认为真实但实际

9、虚假的“信息为根底进展交易，从而错误地判断证券的价格，形成对证券过多或过少的需求，这种噪音交易的来源可以概括为信息不对称；委托-代理关系导致的噪音交易是指由于代理人与委托人目标函数的背离，致使代理人有更大的积极性去从事更多的、超出基于私人信息合理规模的噪音交易，因为他们的噪音交易向委托人传达了更高水平的信息交易的信号，使委托人将会更多地进展投资；市场操纵者为实现操纵目的利用噪音交易者非理性行为主动地制造噪音交易以干扰市场信息，并且为操纵者赢得相对信息优势，这种来源的噪音交易同时也是一种主动性投机策略，这是操纵行为在市场上广泛存在的在鼓励。第三，本文将中国股市的噪音交易区分为系统性噪音交易和非系

10、统性噪音交易。本文认为系统性噪音交易是指存在于每一个证券市场中，是构成市场所必需的，能够增强市场流动性并且不能够通过提高投资者素质、加强监管等措施加以消除的噪音交易。例如一定程度的认知和行为偏差、合理围的信息不对称以及委托-代理关系都是证券市场存在和得以开展的必然特征，这些原因造成的噪音交易无法防止和消除，因而都属于系统性的噪音交易；非系统性噪音交易是指*一个市场上特殊存在的噪音交易，这类噪音交易的程度、围都超过了系统性噪音交易，它是由股票市场主体过度的行为偏差或构造性、制度性约束、市场操纵行为、政策过度干预等原因造成的，会给市场带来负面的影响、降低市场效率。通过这种区分，本文证明了中国股票市

11、场噪音交易的程度比成熟市场更加严重正是由于非系统性噪音交易过于活泼，而这种非系统性噪音交易是可以通过政策措施加以矫正和治理的。第四，本文将中国股市的噪音交易者区分为直接的噪音交易者和间接的噪音交易者，直接的噪音交易者是指直接参与了噪音交易的投资者，包括个人投资者、机构投资者和私募基金；间接的噪音交易者是指虽然没有直接参与噪音交易，但其行为会引起或诱发投资者进展噪音交易，以致加深了噪音交易的频度和围的市场参与主体，包括上市公司、中介机构和政府监管机构等。这些间接噪音交易者的行为偏差会对投资者的决策和行为产生深远的影响，使投资者行为偏差进一步加剧，因此这些主体的行为偏差也构成噪音交易形成的重要机理

12、。本文认为制度在金融市场中是规投资者行为的约束条件，这些约束条件肯定会对投资者认知和行为产生种种影响。中国股市既不可防止地存在新兴市场所固有的制度缺陷，同时也处于制度转型的时期，制度缺陷和制度转型的双重约束通过改变信息的排列方式和信息呈现的背景使投资者产生错觉，进一步加深了投资者系统的认知和行为偏差，形成制度性噪音，成为噪音交易形成的深层来源。关键词：噪音交易噪音交易者风险 有限理性 行为偏差 制度约束 Research of Noise Trade in China Stock MarketSpecialty: Political EconomicsDoctor Candidate: Jia

13、 Nan Director:Professor Zhang HongweiAbstract:Standard finance theory with represent of the Capital Asset Pricing Model and Efficient Market Hypothesis has been faced with challenges both on theoretical and empiricalevidence since the 80s of 20 century. With the research of individual behavioral bia

14、s of perceive psychology being introduced in finance economics and the development of information economics, behavioral finance school had been developing and e*panding constantly. In contrast to standard finance theory, behavioral finance has been founded on two hypotheses of bounded rationality an

15、d bounded arbitrage. Behavioral finance constructed a series of descriptive models which can accurately reflect the real decision-making action of investors, the status of markets circulation and how the prices in securities markets have been determined. As a result, behavioral finance has been prov

16、ided with more strong power to e*plain the abnormal phenomena in securities markets. The development of behavioral finance follows two paths in principle, one is direct application of behavioral psychology in the financial market, and the other is research of irrational behaviors influencing the who

17、le market behavior, in which the most primary work is Noise Trade Theory.As a capital market with burgeon and shunt characteristics, stock market in China has typically inefficient and irrational characteristics, and a great deal of information which are irrelevant to pany fundamental dominate the m

18、arket. Through a mass of empirical analyses, many researchers have proved the traits such as “representation bias, “herding effect, “buy high-sell low can be founded in the investors in Chinas stock market. E*cept the bias in investors behavior, the behavior of listed panies, intermediary institutio

19、ns and even government have irrational bias in deferent e*tent all together. The behavior of those micro-subjects will produce important influence to investors behavior result. All the phenomena indicate that there are inundant noise which are irrelevant to fundamental in the stock market of China.

20、The results of noise trades dominating market are distortion of stock price forming mechanism, the e*cess volatility of asset price, the inefficient market, the e*pansion of bubbles and the accumulation of risks in stock market.Based on the purpose of seeking contradiction springhead of stock market

21、s development, understanding profoundly the function orientation and circulating mechanism of stock market, keeping away financial risks and crises, and driving the market to develop and perfect, the thesis is a formalinvestigation on the noise trading in stock market of China. We review the related

22、finance literature and then analyze the e*hibition, the forming mechanism, the effects and the rectificatory measures of noise trading. E*cept the introduction, the paper can be divided into 7 chapters.Chapter 1 advances the theory basic of noise trade research. In this chapter, we review the releva

23、nt theory of Mar*ism and behavioral finance first, and then give an analysis frame of stock markets noise trading. We define the signification of noise, noise trade, noise trader, and noise trader risk in the Noise Trade Theory one by one. We analyses the twoness of noise trading as well as the accr

24、ual and e*ist mechanism of noise trader. Afterward, as the jumping-off point of our research, we classify scientifically and discuss amply the causation of noise trade.Chapter 2 analyses the special e*hibition of noise trade in stock market of China. Starting with the situation of stock market, we c

25、ollect the idiographic data to e*plain the active degree of noise trade from the particular types and the statistic characters. We use the Behavior Asset Pricing Model to test the active degree of noise trading in Chinas stock market. We also discuss the actuality of noise trader in the aspect of th

26、eir special posing and survival status, with which we show the necessary of research on noise trade.Chapter 3 analyses the inside mechanism of noise trade formation in stock market of China, that is behavioral bias of market participant subjects. The bounded rationality of participators leads to the

27、ir cognitive and behavioral bias such as heuristic bias and frame dependence bias, and this is the most direct reason causing noise trade. Considering the stock market of our country, those behavioral biases represent concretely as herding behaviors, inside trade, market manipulation, e*cess specula

28、tion and short-term behavior of investors; e*cess financing, merger & acquisition, related transactions, information disclosure and dividend distribution of listed panies; besides, the bias of intermediary institutions and government is also the important source of noise trade.Chapter 4 discusses fu

29、rther the outside mechanism of noise trade formation in stock market of China, which is the restriction of market system. System is the restrict conditions of criterion investors behavior in the financial market, which will influence the investors cognition and behavior affirmatively. In this chapte

30、r, we analyze system arrangements increase and deepen the cognitive and behavioral bias of investors by affecting the mode of information array and the background of information presentation, and then lead to the occurrence of institution noise. During the course of shunt, the main system restricts

31、in Chinas stock market include the system of market segmentation, Split Share Structure, the lack of sell short, information disclosure, imperfect delisting and market opening.Chapter 5 and chapter 6 research the negative influences of noise trading in stock market. Because the influence of noise tr

32、ade embodies on the stock price firstly, chapter 5 analyze the noise trades effect of stock price mechanism. We analyze the forming mechanism and the e*cess volatility of stock prices on the base of noise trade theoretically, and then use econometrics method and affair analysis method to test the ph

33、enomena of IPO and closed-fund underpricing as well as the e*cess volatility e*isting in Chinas stock market.Chapter 6 mainly discusses the noise trades deep influence of stock markets efficiency. The e*cessively active noise trades induce the market inefficiency, the e*pansion of irrational bubbles

34、, and also form a new market riskrisk based on investors behavior. All those negative effect may weaken greatly the efficiency of stock market, which we verify both on the theoretical and empirical aspects.Chapter 7 advances the conclusion of this paper and the rectification policies of noise tradin

35、g. We indicate that persistent system innovation, the cultivation of rational market subjects and the criterion of government supervision behavior should be act as the important measures of rectifying noise trade. Among the rest, protection of investors benefits should be put in the important status

36、 all along.The conclusion of this thesis concentrates on the follow aspects. First, this paper gives more prehensive understanding and newer annotation of the basic definition of noise, noise trade, noise trader and their characters. We think noise is the distorted or illusive information or non-inf

37、ormation which cannot reflect the securities fundamental and lead the market prices deflect from the intrinsic value in different e*tent. Noise trade means all the trades that lead the securities price deflecting from their intrinsic value. The borderline between noise trader and information trader

38、is fuzzy and changeable usually. The investor may be an information trader when he trades on information while a noise trader when he trades on noise.Secondly, this paper classifies scientifically the general reasons causing noise trading into 4 categories, including behavioral bias, asymmetric info

39、rmation, principal- agent relationship and market manipulation. We think the general reasons causing noise trade mainly consist in the bias between the value judgment and trade decision leading by bounded rationality of market participants and rational trade behavior, asymmetric information or finit

40、y of information disposing ability, the deviation of objective function between deputies and clients conducing by principal- agent relationship, and the market manipulators produce noise trade initiatively making use of the irrational behavior of noise trader in order to implement the purpose of manipulation.Thirdly, this paper classifies the noise trade into systematic noise trade and nonsystematic noise trade. We think systematic noise trade means the noise trade which e*is