Title :
Empirical study on Chinese stock market noise trading risk premium
Author :
Xiaoguang, Lu ; Li, Ma
Author_Institution :
Bus. Sch., Hohai Univ., Nanjing, China
Abstract :
Based on the noise trading theory, proposed modifier DVI formula, development CAPM and BAPM, to carry on a empirical study to Chinese stock market noise trading risk premium. Arrive at following conclusions, the behavioral portfolio yield show significant peak skewed distribution, China stock market exist remarkable noise trader risk and risk premium, between noise trader risk and risk premium has the significant asymmetry, and stock price clear upward trend in bull market is Chinese noise trader obtains the risk premium income the important premise.
Keywords :
pricing; risk management; stock markets; BAPM; Chinese stock market; DVI formula; behavioral capital asset pricing model; bull market; development CAPM; dynamic volume index; noise trading risk premium; noise trading theory; Analytical models; Biological system modeling; Data models; Indexes; Noise; Portfolios; Stock markets; Development BAPM; median regression mode; modifier DVI formula; noise trading risk premium;
Conference_Titel :
Information and Financial Engineering (ICIFE), 2010 2nd IEEE International Conference on
Conference_Location :
Chongqing
Print_ISBN :
978-1-4244-6927-7
DOI :
10.1109/ICIFE.2010.5609265
