中国股市投资者的策略研究：基于一个噪音交易模型

引入理性交易者以及分别基于价值策略和反馈策略的噪音个体,构建了一个由2类交易者共同作用的价格决定模型,并对噪音交易者进行均衡分析。先基于一个均衡模型推导出噪音交易者影响下的市场价格,进而得到基于价格一阶差分序列的可检验假说,最后利用中国股市的数据对假说进行经验检验。通过实证检验发现,市场上存在较强的噪音交易成分,个体投资不以股票的基本价值为参照,具有明显的"买涨杀跌"等惯性行为,进一步的研究则发现交易量、上市年龄和是否为基金持有对个体投资策略有较显著的影响,而公司规模与行业差异对个体投资策略影响不大。

Study of Investor Strategies in Chinese Stock Market Using Noise Trader Model

Rational traders and noise traders,including the fundamental and feedback investor,were introduced and equilibrium model without the market maker was built.On the basis of the model,I get a testable hypothesis of difference of price series was gotten.The results show that there are evident noise component in Chinese stock market,and the individual invest would fellow positive feedback and don't based on the fundamental value.The further results find that the volume,list ages and whether hold by mutual fund or not have a more effect on the individual invest Strategies,however,the size and industries have no effect.