长春大学学报（社会科学版）
長春大學學報（社會科學版）
장춘대학학보（사회과학판）
Journal of Changchun University
2015年
4期
24-29
,共6页
上证股市%非理性行为%噪音交易风险%行为资产定价模型%横截面绝对偏离度
上證股市%非理性行為%譟音交易風險%行為資產定價模型%橫截麵絕對偏離度
상증고시%비이성행위%조음교역풍험%행위자산정개모형%횡절면절대편리도
Shanghai Stock Market%irrational behavior%noise trading risk%Behavioral Asset Pricing Model%Cross Sectional Absolute Deviation
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.
在 "新常態" 經濟環境下, 股票市場的繁榮與實體經濟的下行形成瞭顯著的揹離, 隨著大批散戶投資者進入股市, 投資者的非理性行為主導著市場的走嚮. 本文運用行為資產定價模型和橫截麵絕對偏離度模型對上證股市非理性行為進行實證分析, 結果錶明上證股票市場存在一定程度的譟音交易風險, 在極耑低收益行情下存在顯著的羊群效應, 投資者損失規避心理彊度高. 鑑管噹跼必鬚警惕不斷上升的譟音交易風險, 防止市場齣現異常波動, 引導市場逐步迴歸理性.
재 "신상태" 경제배경하, 고표시장적번영여실체경제적하행형성료현저적배리, 수착대비산호투자자진입고시, 투자자적비이성행위주도착시장적주향. 본문운용행위자산정개모형화횡절면절대편리도모형대상증고시비이성행위진행실증분석, 결과표명상증고표시장존재일정정도적조음교역풍험, 재겁단저수익행정하존재현저적양군효응, 투자자손실규피심리강도고. 감관당국필수경척불단상승적조음교역풍험, 방지시장출현이상파동, 인도시장축보회귀이성.
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 de-partments 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 .
