我国证券市场中的噪声交易研究——基于一个“机构噪声交易者—散户噪声交易者模型”的分析  

Research of Noise Transactions in Chinese Security Market——Analysis Based on the"Noise Traders Agencies-Personal Noise Traders Model"

作　　者：张乐[1] 李好好[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《中国管理科学》2008年第S1期340-345,共6页Chinese Journal of Management Science

摘　　要：本文从行为金融理论发展的大背景出发,以噪声交易作为研究主题。首先介绍了基于行为金融理论的噪声交易理论;接着简要介绍了噪声交易理论的基本模型—DSSW模型,为将其应用于我国证券市场的实证并提出一个改良模型做好理论铺垫;然后在DSSW模型的基础上,结合我国证券市场的实际情况,原创性地提出了一个我国证券市场"机构噪声交易者一散户噪声交易者模型",以分析说明我国噪声交易者的生存机制及噪声交易对证券市场的影响,并得出相应的启示和政策建议。From the theoretical development of the financial background,this article focused on noise transactions. First,it introduced the theory of noise transactions which based on behavioral finance theory.Second,it summarized the basic model of noise transactions theory-DSSW model particularly established an improved model.Third, a'Noise Traders Agencies-Personal Noise Traders Model'was set up with originality on the foundation of DSSW model combined with actual situation of Chinese security market to analyze survival mechanism of Chinese noise traders and the influence of noise transactions to Chinese security market.Last,it educed relevant apocalypses and policy recommendations.

关 键 词：噪声交易 DSSW模型 机构噪声交易者—散户噪声交易者模型 

分 类 号：F224[经济管理—国民经济] F832.5