证劵市场 - 副本（The securities market - copy）.docVIP

证劵市场 - 副本（The securities market - copy） A study on the existence of noise traders risk in securities market Northwest Agriculture and Forestry University, Chen Nana, Liu Yingzhou Based on the behavioral asset pricing model has gained relevant results, combined with the study of emotional index on China securities market by Chinese scholars, according to the actual situation of Chinas securities market noise trader risk improved test model. On the basis of this model in Shanghai stock market data as the research object, the than the capital asset pricing model is closer to the actual situation in our country is the conclusion, Chinas stock market to provide direct empirical evidence to further improve the reform. I. Introduction The capital asset pricing model (CAPM) as the representative of the traditional finance theory is based on rational hypothesis and efficient market hypothesis about how various in the optimal portfolio and capital market equilibrium price of securities investors decision theory system developed on the basis of the actual situation, but is not all investors to be rational the attitude of decision making. A large number of studies at home and abroad have also found that the cognitive bias of the subjective factors such as mood, personality and feeling of investors has an important role in the investment process, which affects the decision-making of investors. Especially since the late 1970s, financial experts have found that a large number of phenomena such as scale effect, calendar effect and herd effect can not be reasonably explained in the practical application of standard finance theory. In order to explain the market anomalies, financial economists will be included in the study of psychology, the behavioral finance theory, one of the most important achievement is Shefrin and Statman (1994) behavioral capital asset pricing model (BAPM) is proposed. The asset pricing model they construct the rational traders and irrational noise traders in