| With the development of financial market, especially stock market, there emerges a lot of financial abnormal phenomenon which can not be explained in emerging market economy country which is during market transition period. As an immature emerging market, Chinese stock market is different from mature foreign stock market on background, operation way and development history. There are more noise trade, anormal phenomenon and risk in Chinese stock market Systematically studying how noise trader impact stock price and the risk from theory and empiric can explain market behavior effectively. So noise trade study has significant meanings of theories and practices to risk management and control, improving governmental regulation effectiveness, guiding investor's investment philosophy and investment decision rightly, even more guarantee Chinese stock market developing healthily, steadily and constantly.The main research work and study conclusion of this paper as follow:①Using descriptive statistics to analyze Chinese stock investor's behavior characteristics from the sides of the stock investor structure, institutional investor's stock price manipulation behavior, individual investor's trading behavior, short-term buying and selling behavior and so on. The research result shows that the stock investor structure is not reasonable, institutional investor has some stock price manipulation behavior, the individual investor's non-rational trading behavior and short-term buying and selling behavior are a lot. It indicates that there may be a lot of noise trade in Chinese stock market.②Using econometric model, this paper takes twins stock as empirical example to study the noise trading characteristics in Chinese stock market Based on isolating the noise shocks from the fundamental shocks, the study result indicates that there are both systematic and idiosyncratic noise trade in short-term Chinese stock market. There is more noise trade in short-term Chinese stock market than in long-term market. The systematic noise has noticeable effect to stock price and excess return in long-term Chinese A share market. The volatility caused by the idiosyncratic noise in the market has noticeable time-varying. The idiosyncratic noise risk was smooth between Aug. 2001 and Aug. 2006. It rose sharply between Sep. 2006 and Oct. 2007, then it declined sharply between Nov. 2007 and Aug. 2008. This study result is identical to reality between Aug. 2001 and Aug. 2008. ③Relaxing the condition that risk asset dividend is constant and changing of stock dividend follow Gaussian distributions in DSSW model, this paper builds a reasonable mathematical model to study how Chinese noise trader influences prices of risky assets and the market risk. Base on it, the author explains the reason why the financial abnormal phenomenon and the high financial risk appear in Chinese stock market. The study result indicates that if there is only rational investor in stock market, stock price is set by true value and volatility of true value. If there are both rational investor and noise trader in the market, stock price may deviate from true value, and the volatility of stock price increases because noise trader may influence stock price. The so-called financial abnormal phenomenon which performs stock large price movement between Jun. 2005 and Aug. 2008 mainly because the noise trader who dominated Chinese stock market became over optimism when stock price rose, whereas became over pessimistic when stock price declined.The conclusion of this paper shows that there are some effective ways of lessening negative impact of noise trader, guaranteeing healthy, steady, constant development of Chinese stock market, like breeding rational investor rapidly, enhancing information transparency, reducing cost of information, instituting and improving related regulation, especially the credit trading system, strengthening financial derivatives developed and popularized, completing government regulation and so on. |
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