中国股票市场正反馈交易行为的实证研究-ChinaInternational.PDF

中国股票市场正反馈交易行为的实证研究 沈悦，赵建军 (西安交通大学 经济与金融学院，陕西 西安 710061) Empirical Study on Positive Feedback Trading in Chinese Stock Market SHEN Yue ，ZHAO Jianjun (School of Economics and finance,Xi an Jiaotong University, Xi an 710061,china) 作者简介： 沈悦(1961－)，女，陕西大荔人，金融学博士，西安交通大学经济与金融学院 教授；研究方向：金融市场、证券投资、行为金融学等。 赵建军(1981-)，男，河南光山人，西安交通大学经济与金融学院金融学研究生。 通讯地址：陕西省西安市雁塔西路74 号交大经金学院0122 信箱 邮编：710061 电话 (029(029 电子信箱：zhaojianjun@stu.xjtu.edu.cn 中国股票市场正反馈交易行为的实证研究 摘要：正反馈交易行为是指在证券价格上升时买进，下跌时卖出的一种交易策略。 本文选取1996－2005 年间上证综指和深证成指的日交易数据，构造了一个非对称组 合模型(TGARCH)来测度中国股票市场中的正反馈交易行为。实证分析结果表明:正反 馈交易行为使股票收益具有负自相关性，并且随着股票价格波动水平的增加而越发 明显。同时，正反馈交易行为在市场上升和下降时是不对称的，市场下降时候的正 反馈交易行为远比市场上升时剧烈，存在着明显的杠杆效应。 关键词：正反馈交易；ARCH 模型；中国股票市场 Abstract：Positive Feedback Trading strategies are selling during market declines and buying during market advances.Base on the day-trading data of SSE(Shanghai Stock Exchange)Composite Index and SSE(Shenzhen Stock Exchange) Component index in Chinese Stock market from 1996 to 2005, the method to set up one asymmetry component model (TGARCH ) is it estimate positive feedback trading activity of stock market to come. Analyse through empirical study, the impact of feedback trading is to produce negative first order autocorrelation in stock returns which becomes more negative as the level of volatility rises. . And the trading activity of positive feedback is asymmetric when the market rises and drops, the result of the empirical study indicates that drops the trading of positive feedback in time far and violent comparing with the time when the market rises on the market, the obvious lever effect exists. Key words: Positive Feedback Trading; ARCH model; Chinese stock market