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

Jin Feng, Deng-peng Lin, Xiang-bin Yan
2014 2014 International Conference on Management Science & Engineering 21th Annual Conference Proceedings  
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
more » ... is, 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. Keywords-noise trading; EGARCH-M model; asymmetric effect; noise risk; noise component I.
doi:10.1109/icmse.2014.6930363 fatcat:qayggkmycvgdbbvrns32oqhnci