Research In A-stock Market Noise Trading Of China

With the deepening of China’s economic market reform, China’s financial market is gradually changing. The financing model on the market and the innovation of the financing tools are accelerating, it is necessary for us to re-examine the development situation of our country’s financial markets under the background of such a market development. Shanghai stock exchange and Shenzhen stock exchange founded in 1990 and 1991 has opened the door of modern capital market in China, great changes have taken place in China’s stock market just for 20 years. The participation main body of the stock market is increasing, the security market operation of each system and the law is constantly improving, the impact on the real economy is gradually strengthened.Compared to European and American developed countries’ securities market, the securities market in our country is in the early stage, the market started late and combined with the market impact of globalization make the effectiveness of the securities market issues become more prominent. The "market vision" appeared in the process of market operation challenged to the traditional financial theory, Financial experts put forward different opinions with the traditional effective market theory about the "vision",eventually formed the behavior financial market theory. The theory analyzed psychological factors in the market transaction from the investor’s own investment decision-making behavior. According to the theory stock price is not only a response to the information, but also includes the influence of noise. The noise trading has become an important research direction of behavioral finance theory, the existence of the noise has impact on the effectiveness of the market. The noise problem research of this paper is based on the traditional noise trading theory reviewing, then identify China’s a-stock market noise trading characteristics.In this paper we can find that China’s a-stock market has high P/E ratio, high turnover rate and other forms of noise trading performance.After analyzed the a-stock market situation and noise trading situation, we discovered that the a-stock market in China was similar to "chase after go up kill drop", " herd behavior" etc. And the performance was more obvious for Chinese investors, the irrational investment behavior was more frequent in a-stock market.To explore the cause of this phenomenon we found that it is not only from the investor overconfidencebehavior, conservative bias, regret aversion, but also the lack of price limit, the shorting mechanism such as institutional factors in the spread of noise.Aiming at the noise of the a-stock market trading performance, this article adopted the market validity check method to check the market noise for empirical analysis. According to efficient markets in stock prices conform to the random walk hypothesis, the change of stock price is near the average random fluctuation, investors can’t accord the stock price information in history to make trade decisions. The transaction data of stock market in a large number of empirical test provided the raw data of the model. In order to establish closing index migration mode we selected five kinds of a-stock market index as the sample. Various market indexes of time series were obtained by data processing, then analyzed statistical performance and stability of time series. Used the method of variance ratio test of five kinds of time series to confirm whether the series in line with the random walk or not. Five index variance ratio test results declined to the random walk hypothesis about time series so that five index time series were not in conformity with the random walk, which proved that China’s a-stock market is still have not achieve effective weakness, the a-stock market has noise trading behavior.Based on the a-stock market present situation and the empirical analysis on a-stock market, we put forward the following suggestions: First of all, the level of individual investors and institutional investors of self-discipline. Furthermore, the regulatory authorities must strengthen supervision and improve the efficiency of the market. Last but not least, improve the system of information disclosure, and reduce the generation of noise on the market, cut off the noise propagation path, improve the market information asymmetry situation.