Research on Measure of Noise Trading in Stock Market Based on EGARCH-M Model
Jin Feng, Dengpeng Lin, Xiangbin Yan
Available Online March 2014.
- https://doi.org/10.2991/icieac-14.2014.23How to use a DOI?
- noise trading; EGARCH-M model; asymmetric effect; noise risk; noise component
- 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.
- 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 - Proceedings of the 2nd International Conference on Information, Electronics and Computer PB - Atlantis Press SP - 101 EP - 107 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 -