摘要
本文以上海证券交易所上市交易的所有A股为研究对象,采集从1997年12月31日到2005年12月31日为止共8个年度的所有股票的日交易数据作为样本数据,采用事件研究法对中国股市进行噪声交易行为有效性实证检验,结果发现:6种噪声交易组合全部亏损,且噪声交易正确的概率远远低于错误的概率。该结果表明,在中国股市,噪声交易行为不是一种有效的的盈利行为;这一结果可以说是中国股市股价大幅波动具有市场操纵性质的间接证据。
Taking all the A shares of Shanghai security exchange as subject of study, and collecting all the eight years of daily transaction data from Dec. 31, 1997 to Dec. 31, 2005 as samples, this paper conducts an empirical study on the validity of Noise Transaction Behavior, taking event study as a method. The result shows that all the six kinds of noise transaction portfolios suffer loss, and probability of accuracy in noise transactions is much lower than that of probability of error. This result indicates that, in China＇ s stock market, noise transaction behavior is not a valid profitable behavior, which can be regarded as an indirect evidence of the market manipulation nature of the huge share price fluctuation in China＇s stock market.
出处
《山东财政学院学报》
2007年第4期20-22,32,共4页
Journal of Shandong Finance Institute
关键词
股价波动
噪声交易
事件组合
share price fluctuation
noise trading
event portfolio
