The Influence And Analysis Of Noise Trader's Risk

This thesis present a noise trader risk quantitative research using data from the S-hanghai Stock Exchange A-share market to answer relative questions on Chinese sto-ck market.Based on behavioral finance theory,our research quantifies noise trader ri-sk and the market nature of noise trader risk by using the method provided by Behavi-oral Asset Pricing Model.Through a group study of a large number of sample stocks,a conclusion is that there are significant noise traders in Chinese stock market.We al-so proved that the noise trader risk in Chinese stock market has significant "Cash Noi-se Effect".In this process,this thesis further analyzes the impact of negotiable market value factors on noise trader risk,and finds that there is a certain correlation between t-he size of the noise trader risk and the circulation market value,and between the mar-ket nature and the circulation market value.In Chinese stock market,the lower the sto-ck circulation market value,the higher the possibility of noise trader risk,and the stro-nger the negative correlation between noise trader risk and stock return.This research also analyzes the A-shares data from the Shanghai Stock Exchange by using the Information-Adjusted Noise Model,and attempts to test which reactions—overreaction,underreaction or even information pricing error-information traders will show in the face of new information arrival by explaining the behavior error thro-ugh the means of information arrival.The overall result of this thesis is that Chinese s-tock market is characterized by significant inefficiencies.From the perspective of the interpretation of behavior error,the overreaction,underreaction and information pric-ing error of information traders are all important factors causing such inefficiences.In this section,the role of negotiable market value's impact is still concluded through cla-ssified discussion.The results show that there is no significant correlation between m-arket value in circulation market value and market efficiency,but it has a significant i-mpact on the response of information traders.Among the stocks with large market va-lue in circulation,information traders are more likely to show underreaction and info-rnation pricing error.Information traders have increased the proportion of their over-eactions,in turn.