Research On Noise Trading In China Securities Market

In this paper, noise trading as the research object, the formation mechanism of the noise and noise trading is revealed. This paper analyze the causes of noise trading in China's securities market by the cognitive level of investors from China, psychological and behavioral bias as well as the level of information disclosure of listed companies. In addition, from the perspective of market efficiency and market risks, analyze the impact of noise on the stock market.In the empirical research component, firstly, this paper mainly explains the theoretical basis of random walk test used to study of noise trading. Through the basic statistical characteristics, variance ratio test, long memory test of stock market return series proved that stock index return series do not meet the random walk, historical data can be predictable, and thus reflect the noise trading level of the stock market. Secondly, this paper introduces the basic theory of behavioral finance, based on the shares of listed companies selected data, using the traditional capital asset pricing model and the behavior of the capital asset pricing model quantify the noise trader risk of stock market, concluded that the traditional Beta generally higher than the behavior Beta, the noise trader risk NTR widespread.