|Table of Contents|

Empirical study of positive feedback trading in China's stock noise market(PDF)

《长安大学学报（社科版）》[ISSN:1671-6248/CN:61-1391/C]

Issue:
2012年03期
Page:
47-53
Research Field:
经济与管理
Publishing date:

Info

Title:
Empirical study of positive feedback trading in China's stock noise market
Author(s):
LI Wei;  WANG Su-sheng
School of Shenzhen Graduate, Harbin Institute of Technology, Shenzhen 518055, Guangdong, China
Keywords:
noise;  trader;  positive feedback trading;  GARCH-M model
PACS:
F830.91
DOI:
-
Abstract:
In order to explore China's securities market and the existence of noise traders in different markets in their forms,this paper selects five most representative market indexes to do the empirical research and uses GARCH-M model to test the positive feedback trading strategies in China's stock market.The conclusion shows that the noise traders really exist in China's security market, and IPO of blue chip companies has a positive effect on controlling noise trading and positive feedback trading. The small and medium-sized panels have the most obvious positive feedback trading, and then followed by closed-end funds, the Shenzhen component index, the Shanghai composite index, and finally the Shanghai and Shenzhen 300 index. It indicates that more index funds should be developed, which can be suitable for long-term investment to stabilize the market and restore the issue of closed-end funds.

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Last Update: 2012-09-20