摘要
本文借鉴行为金融理论在资产定价领域的成果,对国外学者的实证方法进行了理论改进和拓展,并运用上海股票市场的A、B股有关交易数据进行了实证研究,得出结论认为我国股票市场具有很高的噪声交易者风险,从而无法运用CAPM对股票进行有效定价。本文在具体实证过程中使用了相关工程技术软件和计量分析软件进行大规模的数据处理、运算和运算结果计量分析,得出了具有统计和经济意义的分析结果。
Abstract： Based on the behavioural asset pricing theory, this paper makes progress of the empirical research method developed by foreign researcher , then we make an empir- ical study of CAPM and BAPM by using the trading data of Chinese stock market and get the conclusion that the noise trader risk on Chinese stock market is so high that CAPM cant evaluate the stocks efficiently on this market. Moreover, we use MATLAB to do massive data processing and operation, then we use Eviews to do econometrical a- nalysis and get some conclusions with statistical and economical senses.
出处
《南开经济研究》
CSSCI
北大核心
2006年第3期54-67,共14页
Nankai Economic Studies
关键词
行为金融
噪声交易
行为资产定价
交易量
Behavioural Finance
Noise Trading
Behavioural Asset Pricing
Trading Volume
