Noise Trading In The Chinese Stock Market Research

With the wide implication of Information Economics and the development of Behavior Finance since the 1980s, Noise Trading theory is widespread concerned by the rise to scholars. It abandoned the entirely rational hypothesis of Standard Financial theory, using a more realistic and rational analysis of the limited framework. It has made a more convincing explanation of the financial market phenomena, thus has been quickly accepted by academic and practical sides. Based on the Noise Trading of stock market of China, cited the relevant financial documents in a comprehensive way, the essay gives the concept and classification of Noise Trading, analyses the Noise Trading Model and the survival mechanism of noise trader, discusses the contact between Noise Trading and Arbitrage Trading, and then explores the state and causes of Noise in our stock market, and in the end, gives policy recommendations form three angles: the government, the market system and investors.In the Standard Financial Theory, the noise transaction is a white noise process. With the passage of time, Noise traders expelled from the market due to the "market choice", will not have an impact on the prices of securities. But empirical research finds that, whether it is in developed or emerging securities market, the noise trading there are a lot of transactions and plays an important role in the prices of securities. Noise traders impose restrictions to the arbitrage rational traders by creating additional risks, even in the absence of fundamental values of risk asset prices may vary significantly from the equilibrium value, so as to create their own living space. Empirical research data, more than 10 years of China's securities market, also shows that stock market yield on the future prices statistically significant impact. This is accordance with the analysis of Noise Trading Theory.