Keywords
two-factor model, behavioral finance, noise trading, noise trading volume index
Abstract
Based on the theory of traditional asset pricing,this paper combines the cross-sectional factors influencing asset pricing with capital market factors to form a two-factor model by means of mathematical reasoning,instead of using traditional CAPM beta measures to deal with noise risk,The noise trading volume index NTVI measures the noise in the transaction risk in the behavior of the beta value.At the same time,using the stock of Shanghai and Shenzhen A shares in January 2009 to December 2016 empirical test,the results show that China's stock market risk of noise trading,two-factor CAPM model noise trading risk and earnings of the coefficient is greater than the traditional CAPM model noise trading risk and the yield of the available coefficient,showing that the two-factor CAPM model on the risk of noise measurement is better than the traditional CAPM model.
DOI
10.16315/j.stm.2020.03.005
Recommended Citation
ZHANG, Yun-hui and CHENG, Xian-ming
(2020)
"Risk measurement of stock market noise transaction based on two-factor model,"
Journal of Science and Technology Management: Vol. 22:
Iss.
3, Article 11.
DOI: 10.16315/j.stm.2020.03.005
Available at:
https://jstm.researchcommons.org/journal/vol22/iss3/11
