摘要
投资者对信息的反应具有非线性特征 ,当超过临界点时 ,以往被忽略的信息会以聚集的形式爆发性地表现出来 ,因此证券市场具有长期记忆特征。分析了上海证券交易市场的交易量数据 ,认为上海市场具有长期记忆特征 ,长期记忆主要原因是因为市场中存在较多的噪声交易者 。
Investors react to information in a nonlinear way. When passing the critical point, information that once has been neglected will burst up in cluster as the result of long-term memory in the stock market. Using the trading volume series of Shanghai Stock Market, we suggest that the Shanghai market is the long-term memory dependent and conclude the reasons which include abundant noise traders in the market, the lack of hedging tools and the imperfect information disclosures. The latler two factors in turn magnify investor's cluster reaction.
出处
《管理科学》
2003年第2期40-44,共5页
Journal of Management Science
