中国证券市场中的噪声交易及投资者的非理性行为分析

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摘要

噪声交易的概念最早由 Black 于1986 年正式提出，是指金融市场中的交易主

体基于错误的主观信念或者与公司基本价值无关的信息进行交易。Black 对金融

市场中的噪声交易进行了较为系统的陈述。此后，De Long 等学者运用金融市场

中的投资者普遍存在的各种认知偏差和情感偏差构建了一系列噪声交易和有限套

利模型。

大量的实证研究表明，作为具有丰富心理活动的真实的人，金融市场中的投

资者普遍存在各种认知偏差、情感偏差和意志偏差，因此他们的心理和情感因素

在投资决策的过程中起着不可忽视的作用。

我国的证券市场是一个处于转轨时期的新兴市场，不可避免地存在许多不完

善之处，投资者的非理性行为特征表现得尤为显著，这正好为本文的研究提供了

很好的观测背景和素材。因此将数理分析和实证分析紧密结合，跟踪当代证券市

场研究的前沿，从微观结构和投资者心理与行为特征层面研究中国证券市场中的

噪声交易具有非常重要和深远的理论意义。

时至今日，中国的资本市场步入了一个平稳、健康发展的新时期。然而，与

国际成熟市场相比，中国证券市场还是一个新兴的不成熟的市场，以个体投资者

为主，机构投资者所占的比例还相对较低并缺乏足够的业务素质，市场中的噪声

交易比较普遍。由于噪声交易的普遍和持续存在能够造成市场价格的剧烈波动和

对基本价值的严重偏离，更严重的甚至会引发金融危机，因此加强对投资者投资

行为的监管和建立科学、高效的风险控制与风险管理制度显得尤为重要。本文的

研究从微观结构和投资者心理及行为特征层面揭示了噪声交易产生的根源和发生

机理，可以为证券监管部门制定有效的政策法规和管理制度提供理论依据和决策

支持。另外，市场参与者的非理性造成的行为偏差导致了市场价格对基本价值的

背离，本文对于投资者的指导意义在于根据某些投资者的非理性行为特征，制定

有针对性的投资策略，合理地利用非理性投资者的行为偏差获得超额收益。综合

上述两个方面，本文的研究对于增强政府部门对证券市场的有效监管、指导投资

实务和促进证券市场的创新均具有十分重要和深远的实践意义。

本文的研究目的在于系统地讨论证券市场中的噪声交易对证券价格形成机制

的影响，并运用行为金融理论对噪声交易形成的根源和发生机理、泡沫的产生、

价格的过度波动以及证券市场的非线性系统特征等进行深入的分析，同时结合中

国证券市场的实际数据进行实证分析。本文的研究既可以为政府部门对证券市场

进行合理地监管以及有效地控制和防范金融风险提供政策建议和理论依据，也可

以用于指导投资实务。

本文的研究工作主要集中于以下几个方面。

1．金融市场投资者行为研究述评。结合中国证券市场的实际情况，对金融市

场投资者行为研究的主要理论架构、研究成果、分析工具及发展前景进行了系统

地阐述，为后面噪声交易模型、情绪模型与股票指数预测模型的构建以及实证分

析奠定了理论基础。

2．金融市场有效性探讨。综述了有效市场假说的主要内容、金融市场中的异

象以及行为金融学和混沌分形理论对这些异象的解释，然后结合复杂证券系统的

混沌、分形等非线性特征，对中国大陆、中国香港、美国、英国和日本这五个国

家或地区的股票市场中的风险和运行效率进行了综合的比较分析。

3．三类交易个体共存的噪声交易模型及噪声交易实证分析。一方面，引入理

性套利者、信息挖掘者和动量交易者三类交易个体，构建了一个噪声交易数理分

析模型，深入分析了这三类交易个体的情绪、信念偏误及市场份额等因素对市场

均衡价格形成机制的影响。另一方面，将机构持股比例作为机构投资者对上市公

司盈利预期的代理变量，考察了机构投资者在市场大幅上升期间的交易行为及投

资效率，并对机构投资者在市场大幅上升期间的投资行为表征及内在机制作了综

合的讨论。

4．投资者的情绪分析。一方面，通过情绪指数的实际数据全面地分析了影响

中国证券投资者预期的各种因素，揭示了中国证券投资者的认知特征；另一方面，

通过构建 TARCH 模型分析了投资者的情绪对收益率及收益率波动的影响。

5．基于交易噪声的预测模型及投资策略。一方面，根据前面所提出的噪声交

易模型及其行为金融学分析，将影响投资者交易行为的重要参数引入到神经网络

模型的输入变量中，建立了股票指数的 GRNN 预测模型。另一方面，根据赢者输

者效应提出了基于交易噪声的投资组合构建策略。

关键词：噪声交易非理性行为情绪指数风险管理行为投资策

略市场有效性

ABSTRACT

The concept of noise trading was initially presented formally by Black in 1986 and

it refers to the trading activities of investors in financial market based on incorrect

subjective belief or information unrelated with fundamental value of the listed company.

Black made relatively systematical statements about noise trading in financial market.

Later on, applying various cognitive and sentimental biases to which investors in

financial market are universally subjected, some scholars such as De Long and so on

developed a series of models on noise trading and limit of arbitrage.

A number of empirical researches indicate that as genuine mankind with abundant

psychological activities, investors in financial market are universally subjected to

various cognitive, sentimental and volitional biases, so their psychology and sentiment

play very important parts in the process of investment decision making.

Chinese securities market is a burgeoning market during a shunting period, and

there are unavoidably a lot of incomplete things. In this market, irrational behavioral

characteristics of investors present remarkably, and they just provide this dissertation

with good investigable background and materials. So it’s very important and

theoretically meaningful to combine mathematical analysis and empirical analysis close,

chase the foreland of researches on contemporary securities market, and study the noise

trading in Chinese securities market from the perspective of micro structure and

investors’ psychology and behavioral characteristics.

Today, Chinese capital market has stepped into a stably and healthily developing

new era. Compared to international mature markets, however, Chinese securities market

is still a burgeoning and immature market consisting mainly of individual investors, and

institutional investors account for a relatively small proportion and are short of enough

professional accomplishments, and the noise trading activities in the market are

universal. As universal and persistent existence of noise trading may produce intense

fluctuation of market prices and heavy deviation from fundamental values and even may

provoke financial crisis, so it is very important to strengthen the supervision on the

trading behaviors of investors and construct a scientific and effective system of risk

control and management. The study in this dissertation discloses the derivation and

mechanism of noise trading from the perspective of micro structure and investors’

psychology and behavioral characteristics and it may provide theoretical foundation and

decision support for securities supervision department to set down effective policy, rule

of law and management institution. Furthermore, behavioral biases produced by the

irrationality of investors lead to the deviation of market prices from fundamental values,

and the instructive significance of this dissertation with respect to investors rests with

setting down corresponding investment strategy according to irrational behavioral

characteristics of some investors and obtaining abnormal return by reasonably

exploiting the behavioral biases of irrational investors. In a word, the study in this

dissertation has very important and profound practical significance for administrative

departments to strengthen the effective supervision on securities market, direct

investment and promote the innovation of securities market.

This dissertation aims at systematically discussing how noise trading in a securities

market affects the pricing mechanism, deeply analyzing the derivation and occurrence

mechanism of noise trading, bubble, excessive fluctuation of prices, and nonlinear

systematical characteristics of securities market by applying behavioral finance, and at

the same time making some empirical studies by using actual data of Chinese securities

market. The study in this dissertation not only may provide policy proposal and

theoretical foundation for administrative departments to reasonably supervise securities

market and effectively control and keep away financial risk, but also may direct

investment practice.

The study in this dissertation focuses on the following aspects:

1. A perspective on researches about the behavior of investors in financial markets.

Associating the fact of Chinese securities market, we systematically introduce the main

theoretical structure, research findings, analytical tools and developing prospect of

researches about the behavior of investors in financial markets. This introduction paves

the way for latter construction of noise trading model, sentiment model and stock index

forecasting model and empirical analysis.

2. A discuss on the efficiency of financial market. We introduce the main contents

of efficient market hypothesis, the anomalies in financial market and the interpretations

for these anomalies based on behavioral finance and chaos and fractal theory. Then we

make a comprehensive comparison analysis on the risk and operation efficiency of stock

markets in five countries or areas such as China Mainland, Hong Kong, US, UK and

Japan by discussing the chaos and fractal characteristics of nonlinear and complex

securities system.

3. A noise trading model in which three kinds of investors are incorporated and an

empirical analysis on noise trading. On one hand, we construct a noise trading model in

which rational arbitrageur, information miner and moment trader are incorporated and

by using this model we deeply analyze how the sentiment, belief biases and market

proportion of these three kinds of investors affect the equilibrium prices. On the other

hand, we take institutional ownership of a stock as a proxy for the expectation of

institutional investors for future earning of the related listed company, and inspect the

trading behavior and investment efficiency of institutional investors in the period when

the market is experiencing a rapid rise, then the investment behavior tokens and

intrinsic mechanism of institutional investors in a rising market are comprehensively

discussed.

4. An analysis on investors’ sentiment. On one hand, we comprehensively analyze

various factors impacting the expectation of Chinese securities investors by using the

actual data of sentiment index and then the cognitive characteristics of Chinese

securities investors are disclosed. On the other hand, by constructing TARCH models

we analyze the impact of investors’ sentiment on return and volatility.

5. A forecasting model and a investment strategy based on noise trading. On one

hand, According to previously presented noise trading model and corresponding

analysis by using behavioral finance, we incorporate some important parameters

impacting the trading behavior of investors into the input variables of NN model and A

GRNN forecasting model for stock index is constructed. On the other hand, a portfolio

strategy to exploit noise trading is presented based on winner-loser effect.

Key Word: noise trading, irrational behavior, sentiment index, risk

management, behavioral investment strategy, market efficiency

中文摘要

ABSTRACT

第一章绪论 ............................... 1

§1.1 引言 ...................................................... 1

§1.2 现代标准金融学关于市场效率及投资者行为的假设 .............. 2

§1.3 真实的市场行为机制 ........................................ 4

§1.4 论文研究的背景、目的和内容 ................................ 8

§1.4.1 选题背景与研究目的 ................................... 8

§1.4.2 研究内容 ............................................. 9

第二章金融市场投资者行为研究述评 .......... 11

§2.1 概述 ..................................................... 11

§2.2 金融市场投资者决策行为研究的理论架构及相关研究成果 ....... 11

§2.2.1 非预期效用心理决策理论 .............................. 11

§2.2.2 投资者的认知偏差、情绪偏差和意志偏差 ................ 15

§2.2.3 行为资本资产定价模型和行为投资组合理论 .............. 19

§2.2.4 基于心理偏差及有限理性的投资行为模型 ................ 22

§2.3 金融市场投资者行为研究的理论分析工具 ..................... 24

§2.4 金融市场投资者行为研究的发展前景展望 ..................... 26

§2.5 小结 ..................................................... 27

第三章金融市场有效性探讨 .................. 29

§3.1 概述 ..................................................... 29

§3.2 有效市场假说 ............................................. 29

§3.2.1 有效市场假说产生的背景 .............................. 29

§3.2.2 有效市场假说的主要内容 .............................. 30

§3.2.2.1 有效市场的本质 ................................ 30

§3.2.2.2 有效市场的效率层次分类 ........................ 31

§3.3 金融市场中的异象 ......................................... 34

§3.4 并非有效的市场 ........................................... 36

§3.5 国际股票市场运行效率的实证分析 ........................... 38

§3.5.1 引言 ................................................ 38

§3.5.2 样本数据与描述性统计 ................................ 39

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摘要：

摘要噪声交易的概念最早由Black于1986年正式提出，是指金融市场中的交易主体基于错误的主观信念或者与公司基本价值无关的信息进行交易。Black对金融市场中的噪声交易进行了较为系统的陈述。此后，DeLong等学者运用金融市场中的投资者普遍存在的各种认知偏差和情感偏差构建了一系列噪声交易和有限套利模型。大量的实证研究表明，作为具有丰富心理活动的真实的人，金融市场中的投资者普遍存在各种认知偏差、情感偏差和意志偏差，因此他们的心理和情感因素在投资决策的过程中起着不可忽视的作用。我国的证券市场是一个处于转轨时期的新兴市场，不可避免地存在许多不完善之处，投资者的非理性行为特征表现得尤为显著，这正好为本...

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