9 o FUDAN⑩BRsg 噪声交易与市场质量动态 关系与相互作用分析 院系 经济学院 专业班级 金融 姓名 纪尹杰 学号 15210680156 指导教师 张宗新 2016年2月15日
噪声交易与市场质量动态 关系与相互作用分析 院 系 经济学院 专业班级 金融 姓 名 纪尹杰 学 号 15210680156 指导教师 张宗新 2016 年 2 月 15 日
摘要 本文以基本面和成分股数相近的上证50和深证成指为样本分离出噪声序列,建 立了向量误差修正模型(VECM),探讨噪声交易与平均市盈率、市场波动性和换手率 三个市场质量指标之间的动态均衡关系,并进一步揭示了四个变量间的传导路径和 经验因果关系。研究发现:噪声交易、平均市盈率、换手率和市场波动性均存在明 显的正相关关系;四个指标之间存在复杂的经验因果关系,噪声交易和换手率、平 均市盈率和换手率互为因果,噪声交易、换手率和波动性均构成平均市盈率的原因, 换手率还影响市场波动性。研究表明我国股市的噪声交易具有较强的外生性;噪声 交易未必直接导致市场波动,但会降低市场质量。唯有培育理性投资者、提高上市 公司质量、加强交易监控并引导价值投资,才能真正提高我国股市质量。 关键词ε噪声交易市场质量向量误差修正模型传导路径
摘要 本文以基本面和成分股数相近的上证 50 和深证成指为样本分离出噪声序列，建 立了向量误差修正模型（VECM），探讨噪声交易与平均市盈率、市场波动性和换手率 三个市场质量指标之间的动态均衡关系，并进一步揭示了四个变量间的传导路径和 经验因果关系。研究发现：噪声交易、平均市盈率、换手率和市场波动性均存在明 显的正相关关系；四个指标之间存在复杂的经验因果关系，噪声交易和换手率、平 均市盈率和换手率互为因果，噪声交易、换手率和波动性均构成平均市盈率的原因， 换手率还影响市场波动性。研究表明我国股市的噪声交易具有较强的外生性；噪声 交易未必直接导致市场波动，但会降低市场质量。唯有培育理性投资者、提高上市 公司质量、加强交易监控并引导价值投资，才能真正提高我国股市质量。 关键词：噪声交易 市场质量 向量误差修正模型 传导路径
Abstract The author selects SsE50 and SZsE Component Index, which have the similar fundamentals and number of constituent stocks, as the study sample, and then separates the noise trading from the fundamentals and con struct the vector error correction model The author explores the dynamic equilibrium relationship among the noise trading, average price-earning ratio, the volatil ity of the stock markets and the turnover rate, in which transfer paths and the empirical causal relationship are found. The research results are listed below: The noise trading is positively correlated with the other three indicators The noise trading and the turnover rate as well as the turnover rate and the average Pe ratio are each others essential prerequisites. The average Pe ratio changes as a result of the other three indicators. Besides, the turnover rate also affects the volatility of the stock markets. The research results indicate that the noise trading in Chinese stock markets are almost exogenous and the noise trad ing doesn t necessarily cause the volatility directly but will lower the quality of the market. The author appeals to the government to cultivate rational investors, raise the quality of public companies as well as strengthen the supervising of trading to lead to value investing so that the quality of Chinese stock markets can be improved Key words: noise trading, quality of the stock markets, vector error correction model
Abstract The author selects SSE50 and SZSE Component Index, which have the similar fundamentals and number of constituent stocks, as the study sample, and then separates the noise trading from the fundamentals and construct the vector error correction model. The author explores the dynamic equilibrium relationship among the noise trading, average price-earning ratio, the volatility of the stock markets and the turnover rate, in which transfer paths and the empirical causal relationship are found. The research results are listed below: The noise trading is positively correlated with the other three indicators. The noise trading and the turnover rate as well as the turnover rate and the average PE ratio are each other’s essential prerequisites. The average PE ratio changes as a result of the other three indicators. Besides, the turnover rate also affects the volatility of the stock markets. The research results indicate that the noise trading in Chinese stock markets are almost exogenous and the noise trading doesn’t necessarily cause the volatility directly but will lower the quality of the market. The author appeals to the government to cultivate rational investors, raise the quality of public companies as well as strengthen the supervising of trading to lead to value investing so that the quality of Chinese stock markets can be improved. Key words： noise trading, quality of the stock markets, vector error correction model, transfer paths
内容目录 1引言 2文献回顾 21国外学者的研究历程. 22国内学者的研究历程… 23已有研究的不足和本文的主要贡献 3相关指标的构建与数据获取 31噪声交易的度量方法 32市场质量各指标的度量方法 1224555667 321价格波动性. 322流动性 323平均市盈率 33数据样本的选取与获得. 331标的指数的选取… 332数据来源与数据区间… 4噪声交易与市场质量的实证分析… 4.1各指标描述性统计分析与相关性检验 411描述性统计… 788889 41.2相关性检验 42VEC模型建立 4.21 Johansen协整检验.… 42.2vEC模型估计. 12 4.3VEC模型的有效性检验 431平稳性检验 脉冲响应函数分析 433方差分解 43 Granger因果检验. 17 44稳健性检验. 4.5结论 5政策建议与未来研究方向… 5.1政策建议 52未来研究方向 20 参考文献 附录对深证成指的模型估计
内容目录 1.引言.......................................................................................................................................1 2.文献回顾............................................................................................................................... 2 2.1 国外学者的研究历程.................................................................................................2 2.2 国内学者的研究历程.................................................................................................4 2.3 已有研究的不足和本文的主要贡献.........................................................................5 3.相关指标的构建与数据获取............................................................................................... 5 3.1 噪声交易的度量方法.................................................................................................5 3.2 市场质量各指标的度量方法..................................................................................... 6 3.2.1 价格波动性......................................................................................................6 3.2.2 流动性..............................................................................................................7 3.2.3 平均市盈率......................................................................................................7 3.3 数据样本的选取与获得............................................................................................. 7 3.3.1 标的指数的选取.............................................................................................. 7 3.3.2 数据来源与数据区间...................................................................................... 8 4.噪声交易与市场质量的实证分析....................................................................................... 8 4.1 各指标描述性统计分析与相关性检验.....................................................................8 4.1.1 描述性统计......................................................................................................8 4.1.2 相关性检验......................................................................................................9 4.2 VEC 模型建立............................................................................................................11 4.2.1 Johansen 协整检验......................................................................................... 11 4.2.2 VEC 模型估计..................................................................................................12 4.3 VEC 模型的有效性检验............................................................................................ 15 4.3.1 平稳性检验....................................................................................................15 4.3.2 脉冲响应函数分析......................................................................................... 16 4.3.3 方差分解.........................................................................................................16 4.3 Granger 因果检验.....................................................................................................17 4.4 稳健性检验..............................................................................................................18 4.5 结论.......................................................................................................................... 19 5.政策建议与未来研究方向.................................................................................................19 5.1 政策建议.................................................................................................................. 19 5.2 未来研究方向...........................................................................................................20 参考文献................................................................................................................................ 20 附录 对深证成指的模型估计.......................................................................................... 23
图表目录 图表1中国股市换手率与市盈率 图表2上证50和深圳成指回归结果 图表3AR根图 图表4脉冲响应函数 图表5方差分解图 图表6噪声交易与市场质量各指标间传导关系 表格1上证50各指标描述统计 表格2深证成指各指标描述统计…..- 表格3上证50指数噪声交易与市场各指标的 Pearson相关性检验∴ 表格4上证50指数噪声交易与市场各指标的 Spearman相关性检验 表格5 Johansen协整检验 表格6向量误差修正模型 Eviews估计结果. 表格7上证50指数vEC模型格兰杰因果检验结果……… 表格8深证成指vEC模型格兰杰因果检验结果…
图表目录 图表 1 中国股市换手率与市盈率............................................................................................... 1 图表 2 上证 50 和深圳成指回归结果.......................................................................................... 9 图表 3 AR 根图.......................................................................................................................15 图表 4 脉冲响应函数................................................................................................................16 图表 5 方差分解图...................................................................................................................17 图表 6 噪声交易与市场质量各指标间传导关系.........................................................................18 表格 1 上证 50 各指标描述统计.............................................................................................. 9 表格 2 深证成指各指标描述统计 ............................................................................................. 9 表格 3 上证 50 指数噪声交易与市场各指标的 Pearson 相关性检验 ..........................................10 表格 4 上证 50 指数噪声交易与市场各指标的 Spearman 相关性检验.......................................10 表格 5 Johansen 协整检验.....................................................................................................11 表格 6 向量误差修正模型 Eviews 估计结果............................................................................12 表格 7 上证 50 指数 VEC 模型格兰杰因果检验结果................................................................17 表格 8 深证成指 VEC 模型格兰杰因果检验结果.....................................................................18