中国证券市场噪声交易的影响因素研究  

Study of Contributing Factors on Noise Deal in Chinese Securities Market

作　　者：宋飞 李明[2] 

机构地区：[1]宏源证券股份有限公司成都投资银行部,四川成都610041 [2]西南财经大学会计学院,四川成都610041

出　　处：《贵州财经学院学报》2011年第2期62-67,共6页Journal of Guizhou College of Finance and Economics

摘　　要：噪声交易广泛存在于我国的证券市场中,从而导致证券市场的振幅进一步加大,大涨大跌的局面时有发生。通过选取我国证券市场2003至2007年A股数据,首次实证检验了影响噪声交易的因素,得出低股利政策、夸小性会计盈余操纵和市场超额收益率是导致其产生的根源。因此,应提高股利的支付水平、加大投资者的教育和大力发展机构投资者,以减少证券市场中的噪声交易。Noise deal widely exists in Chinese securities market and further broadens the fluctuation range in the market, which leads to the wild fluctuation of the market. Choosing the data of stock A in Chinese securities market from 2003 to 2007, it firstly tested contributing factors of Noise Deal and concluded that low share bonus, underestimate accounting surplus and over revenues from market are the root causes. Therefore, it is supposed to increase bonus pay, strengthen education of investors and greatly develop institutional investors so as to reduce the Noise Deal in securities market.

关 键 词：噪声交易 股利政策 会计盈余 市场超额收益率 

分 类 号：F810[经济管理—财政学]