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

The impact of noise on the market is one of main reasons for inefficiency of information and the deviation of stock price from its value. The measure of noise trading can realize the judgment of stock price. Through the variance ratio test method, this paper authenticated the existence of noise trading in Shanghai A-shares market. On this basis, this article established EGARCH-M models of stock price and trading volume, to authenticate the asymmetric effect of the impact of the information on stock prices and trading volume. In addition, this paper employed the fitting results of models to separate the noise trading, and then built the measure indexes of noise risk and noise components. Furthermore, this paper plotted the information impact curve of noise. This research has broken through the limitations of previous measure methods of noise trading.