Comparative Study Of Noise Trading In Sino-american Stock Markets

In recent years, a variety of financial market anomalies and investor irrationality experiments confirmed that the behavior of irrational traders can affect the securities market, so noise trading theory was introduced into the financial markets,many domestic and foreign scholars explore its stock market from the perspective of noise trading. China stock market could be the representative of the emerging stock markets, and American stock market could be the representative of the developed stock markets. The comparative research between two markets could explore the differences between emerging stock markets and the developed stock markets and help the development of emerging markets in the view of the experience of developed markets, also supply the valuable idea for the macro investors. In view of comparative study between the Chinese stock market and the U.S. stock market was supported by more and more attention, while research of which tend to concentrate on correlation or linkage, this study attempts to focus on the Sino-American comparison research from angle of noise trading, and then reveal the performance and the influencing factors of the emerging stock market and the developed stock market. Since the research should be based on the similar time horizon and sample scale, it's not reasonable to pile up some studies to do easy comparison, so this research apply the noise composition test which based on the variance ratio to the comparative study of the sample revenue in Sino-American stock markets, explore how the change of the irrational part of the Sino-American stock prices move with the change of time, compare the influence factors of noise trading in two markets from the market and finance combined with the noise composition test of different holding period.Since Shanghai Stock Exchange and New York Stock Exchange can be the representative of emerging stock markets and developed stock markets respectively, so they are chosen as objects of study. In Shanghai Stock Exchange,totally stocks available for this time period and all of them are selected to do the test. In New York Stock Exchange,there are much more stocks meet study requirement. But to keep the comparison in roughly the same sample size, we randomly choose some of them for testing. Under the reasonable sample scale, it guarantee the unbiasedness and the efficiency of the outcome research, data are all from Datastream. From the research, we can know that both the overreacting process and error correcting process last for longer time horizon in China than in U.S., revealed the differences between the emerging market and the developed market from the perspective of the noise trading, reflect the attraction of the emerging market to some extent, supply the advisory opinion for the macro investors when they are making investment decision. Besides, change the interval q on the basis of filtering out the season wave properties and keeping the integral movement cycle, explore the noise trading structure, decompose the stock price movement, then find that stock price movement can be seen as a combination of purely random process plus these two auto correlated processes, it become possible for us to set up a trading noise structure that is consistent with all the data. The research provide clues for further discovering the noise trading structure of market exchange, such as the overreacting time horizon of the irrational exchanger and the time horizon of price error correcting process.The outcome research reveal that there are significantly positive relationship between information asymmetry, turnover, sentiment, transaction cost and noise trading composition. The biggest difference between the influence factor of the noise trading in Sino-US stock markets is information asymmetry, which means that institutional investor have different influence in Sino-American stock markets. Compared with the developed stock market such as American stock market, Chinese institutional investors should optimize their behavior and the environment of Chinese stock market should be more effective and attractive.