NDLI: Research on measure of noise trading in stock market based on EGARCH-M model

Content Provider	IEEE Xplore Digital Library
Author	Feng Jin Lin Deng-peng Yan Xiang-bin
Copyright Year	2014
Description	Author affiliation: Sch. of Manage., Harbin Inst. of Technol., Harbin, China (Feng Jin; Lin Deng-peng; Yan Xiang-bin)
Abstract	The impact of noise on the market is one of main reasons for inefficiency of information and the deviation of stock price from its value. The measure of noise trading can realize the judgment of stock price. Through the variance ratio test method, this paper authenticated the existence of noise trading in Shanghai A-shares market. On this basis, this article established EGARCH-M models of stock price and trading volume, to authenticate the asymmetric effect of the impact of the information on stock prices and trading volume. In addition, this paper employed the fitting results of models to separate the noise trading, and then built the measure indexes of noise risk and noise components. Furthermore, this paper plotted the information impact curve of noise. This research has broken through the limitations of previous measure methods of noise trading.
Starting Page	1183
Ending Page	1189
File Size	359447
Page Count	7
File Format	PDF
ISBN	9781479953752
ISSN	21551855
e-ISBN	9781479953769
DOI	10.1109/ICMSE.2014.6930363
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2014-08-17
Publisher Place	Finland
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Solid modeling noise risk Noise asymmetric effect Noise measurement Indexes Equations information impact curve EGARCH-M model noise components Mathematical model Stock markets noise trading
Content Type	Text
Resource Type	Article

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