Proceedings of the 2nd International Conference on Information, Electronics and Computer

Research on Measure of Noise Trading in Stock Market Based on EGARCH-M Model

Authors
Jin Feng, Dengpeng Lin, Xiangbin Yan
Corresponding Author
Jin Feng
Available Online March 2014.
DOI
https://doi.org/10.2991/icieac-14.2014.23How to use a DOI?
Keywords
noise trading; EGARCH-M model; asymmetric effect; noise risk; noise component
Abstract
The impact of noise on stock market is one of the main reasons for inefficiency of information, and deviation of stock price. The measure of noise trading is beneficial for judgment of stock value. This paper has authenticated the existence of noise trading in SHSE A-share market through the variance ratio test method. Then the EGARCH-M model of stock price and trading volume has been established, to authenticate the asymmetric effect of the impact of information. On this basis, this paper utilized the fitting result of the model to separate noise trading, and then build the measure indexes of noise risk and noise component. It has broken through the limitations of previous methods for measure of noise trading.
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Proceedings
2nd International Conference on Information, Electronics and Computer
Part of series
Advances in Intelligent Systems Research
Publication Date
March 2014
ISBN
978-90-78677-99-4
ISSN
1951-6851
DOI
https://doi.org/10.2991/icieac-14.2014.23How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Jin Feng
AU  - Dengpeng Lin
AU  - Xiangbin Yan
PY  - 2014/03
DA  - 2014/03
TI  - Research on Measure of Noise Trading in Stock Market Based on EGARCH-M Model
BT  - 2nd International Conference on Information, Electronics and Computer
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/icieac-14.2014.23
DO  - https://doi.org/10.2991/icieac-14.2014.23
ID  - Feng2014/03
ER  -