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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Noise Trader Risk and Market Efficiency in Chinese Stock Markets |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Date | 2020 |
| Abstract Text | This paper explores the impact of information traders and noise traders on China stock market by applying the the information adjusted noise model (IAMN).The result of empirical test shows China stock market is completely inefficient and both the two types of the investors are contributing to the noise trader risk, which increase the volatility of the market. The Noise trader risk is higher in Bullish period than in Bearish market and the risk is increasing over time. The study of the interaction between information traders and noise traders shows that a part of the noise trader risk is attributed to information traders. They can be overreacting to the mispricing that caused by noise traders and in many cases even join them, which expand the noise trader risk in the market. |
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