噪声交易者风险存在性与补偿性

1、噪声交易者风险存在性与补偿性：基于中国封闭式基金市场的实证分析Existence and Pricing of Noise Trader Risk:Empirical Analysis of Closed-end Fund Market in China王建军指导教师姓名： 任宇助理教授专业名称： 金融学摘要噪声交易能够增加资产的流动性，但是噪声交易过度会造成资产价格的过分波动。如果一个金融市场中的噪声交易泛滥，那么该金融市场中的投资者在投资交易时将可能面临一种新的风险，即噪声交易者风险。本文以中国封闭式基金市场为研究对象，探讨了这种新风险在中国金融市场的存在性和补偿性。统计数据显示，在200

2、2年前中国封闭式基金持有人以个人投资者为主，在2002年后机构投资者迅速成为新的主要持有人，而且沪市和深市封闭式基金市场的换手率、贴水率和持有人结构都存在一定的差异。因此本文在实证分析时把封闭式基金市场分为四部分，1999年1月至2001年12月的沪市和深市封闭式基金市场，以及2003年1月至2009年8月的沪市和深市封闭式基金市场。为了分析噪声交易者风险的存在性，本文先引用GJR-GARCH(1,1)-M模型检验了封闭式基金市场是否支持时变理性假说，然后利用封闭式基金样本检验了基金价格的过度波动现象和均值回归效应。两个实证结果显示，第一，虽然两个时间段的封闭式基金持有人结构有显著的差别，但是

3、两个时间段的封闭式基金市场都存在噪声交易者风险；第二，2003年1月至2009年8月的沪深封闭式基金价格的过度波动现象比1999年1月至2001年12月更为显著，这意味着机构投资者可能存在非理性交易行为；第三，同一时间段的沪市和深市封闭式基金市场的检验结果无明显差异。在实证分析的最后部分，基于风险补偿与收益率之间的关系，本文探讨了噪声交易者风险的定价问题。结果显示，两个时间段的沪深两市封闭式基金市场的投资者没有因为承受噪声交易者风险而获得相应的风险补偿。关键词：噪声交易；封闭式基金；GJR-GARCH-MAbstractNoise Trade increases the liquidity o

4、f financial assets, and also the volatility of assetsprice. Theoretically, under some conditions, Noise trade will create a new risk in financial market. The risk is called noise trader risk. In this thesis, existence and pricing of the risk are discussed with closed-end fund market in China. The da

5、ta shows thatthe individual-holding ratio, exchange ratio and discount ratio of closed-end fund are significantly different between the period from 1999.1 to 2001.12 and the period from 2003.1 to 2009.8, and the three ratios also different between closed-end fund in Shanghai stock market and in Shen

6、zhen stock market. Hence, the data of closed-end fund used in the thesis is divided into four parts. The four parts are the data of closed-end fund in Shanghai stock market and in Shenzhen stock market from 1999.1 to 2001.12,and the data of closed-end fund in Shanghai stock market and in Shenzhen st

7、ock market from 2003.1 to 2009.8. As for the discussion about the existence of noise trader risk,the model GJR-GARCH(1,1)-M is used to test the time-varying rational expectation in four closed-end fund market, the testing of excess volatility and mean reversion of price too is used during the discus

8、sion. The results are as follows: first, there is noise trader risk in four closed-end fund markets; second, there is more excess volatility in the closed-end fund market from 2003.1 to 2009.8 than the period from 1999.1 to 2001.12,which means that institute investors are possible to do irrational trades; third, no significantdifference is found between the closed-end fund in Shanghai stock market and in Shenzhen stock market in the same period. In the last part of empirical analysis, based on the relationship between risk and return, pricing of noise trader risk is discussed. The resu