Research on Education
Journal of Microbiology Research
Prime Journal of Business Administration and
2, Issue 3, pp. 474-484
Stock market noise trading risk premium: Based on
Chinese Stock Market
School, HoHai University, Nanjing Jiangsu 210098, China.
and Cmc Life Insurance Company Ltd. Shanghai 200120, China.
Accepted 5th March, 2012
Based on the noise trading theory, according to the basic
characteristics of noise trading, we proposed modifier DVI
formula, development CAPM and development BAPM. Used the
Shanghai Securities Exchange’s previous years the transaction
data, selected those stocks higher than the average turnover
rate as a noise transaction behavior portfolio, chose Sample
Unit of Shanghai and Shenzhen 300 Index as the information
exchange market portfolio, used least absolute deviation method
to fit a median regression model for the empirical research of
the noise trading theory in China. Arrive at following
conclusions, the behavioral portfolio yield show significant
peak skewed distribution, China stock market exist remarkable
noise trader risk and risk premium, between noise trader risk
and risk premium has the significant asymmetry, and stock price
clear upward trend in bull market is Chinese noise trader
obtains the risk premium income the important premise.
noise trading risk premium, behavioral portfolio, modifier DVI
formula, Development BAPM, median regression model.
JEL Code: C22, C43, C51, G12, G14
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