证券涨跌幅对投资者短期交易行为影响的实证研究
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摘要
行为金融学是一门新兴的交叉学科，其与标准金融学的区别在于致力于描述投资者的决策过程而不是告诉投资者如何进行投资决策。行为金融学以投资者的交易行为为研究重点。证券价格变化是影响投资者交易行为的重要因素，投资者在接受各种信息之后所作出的决策最终也体现为证券价格的变化。因此，本文以证券的涨跌幅度(证券价格变化)为中心事件，从过度反应检验入手来研究投资者的交易行为。在进行了过度反应检验之后，本文以现有的行为金融学理论为基础构建了行为金融学的分析框架，以此框架对过度反应检验的实证分析结果进行了分析。
本文得出的研究结论为：
1．中国证券市场在短期内不存在过度反应现象，收益在10天的时间窗口内表现出显著的惯性效应。说明证券出现涨跌幅变化之后，投资者的交易行为是沿着涨跌幅的方向持续地背离市场价值，而不是向市场价值回归(反转效应)。
2．上海证券市场的A股、B股和基金，惯性效应的显著性不同，A股最为显著。随着时间推移，显著性在不断减弱。
3．上升波段和下降波段组合差值的构成比例不同。上升波段，组合差值主要由winner组合构成；下降波段，组合差值主要由loser组合构成。
4．涨跌幅度不同对投资者的交易行为产生影响。
本文的主要贡献在于：
1．对中国证券市场的投资者交易行为进行了短期过度反应的检验。此前，国内的过度反应检验缺少日间数据的研究。
2．以现有行为金融学理论为基础构筑了新的行为金融学框架，并以此框架对检验结果进行了分析，对于A股市场的实证结果取得了满意的分析效果，推广了行为金融学理论的实际应用。
Behavioral finance is a new intercross subject. It dedicates to describe the decision-making process of the investors but not to tell the investors how to make the investment decision, which is the difference between behavioral finance and the classical finance. The research pivot of behavioral finance is trading action of the investors and the key factor that affects trading action of the investors is the movement of the price of security. The decision the investors have made after they received all kinds of information materialize the movement of the price of the security ultimately. So, this paper define the extent of the price movement of the security as focus event, and discuss the investor behavior by the overreaction test. After tested the overreaction hypothesis, the paper build a behavioral financial analysis frame based on the existing behavioral financial theories and analyze the empirical results in the frame.
The paper reaches some conclusions as follows:
1. There is not short-term overreaction in Chinese security market. The return manifests distinct momentum effect. This tells us that the investors' trading action deviate from the mean value continually more than regress to it after the price movement.
2. There is difference of t value between the A shares ,B shares and funds of Shanghai security market. The t value of A shares is the most distinct. As time passed, t value turned unconspicuous.
3. The proportion of the difference of the portfolios is different between the up phase and the down phase. In the up phase, the difference of the portfolios is constituted mainly by the winner portfolio. Whereas, in the down phase , it is constituted mainly by the loser portfolio.
4. The different extent of the price movement affect the investors' trading action differently.
The contributions of the paper include:
1. Test the short-term overreaction hypothesis of the investors' trading action in Chinese security market for the first time. Erenow, there is not test of overreaction with data of days in China.
2. Build a new behavioral financial frame based on the existed behavioral financial theories, and interpreted the empirical results under the frame. For A
shares, we have obtained a satisfying analytical result and extend the application of the behavioral financial theories.
本文得出的研究结论为：
1．中国证券市场在短期内不存在过度反应现象，收益在10天的时间窗口内表现出显著的惯性效应。说明证券出现涨跌幅变化之后，投资者的交易行为是沿着涨跌幅的方向持续地背离市场价值，而不是向市场价值回归(反转效应)。
2．上海证券市场的A股、B股和基金，惯性效应的显著性不同，A股最为显著。随着时间推移，显著性在不断减弱。
3．上升波段和下降波段组合差值的构成比例不同。上升波段，组合差值主要由winner组合构成；下降波段，组合差值主要由loser组合构成。
4．涨跌幅度不同对投资者的交易行为产生影响。
本文的主要贡献在于：
1．对中国证券市场的投资者交易行为进行了短期过度反应的检验。此前，国内的过度反应检验缺少日间数据的研究。
2．以现有行为金融学理论为基础构筑了新的行为金融学框架，并以此框架对检验结果进行了分析，对于A股市场的实证结果取得了满意的分析效果，推广了行为金融学理论的实际应用。
Behavioral finance is a new intercross subject. It dedicates to describe the decision-making process of the investors but not to tell the investors how to make the investment decision, which is the difference between behavioral finance and the classical finance. The research pivot of behavioral finance is trading action of the investors and the key factor that affects trading action of the investors is the movement of the price of security. The decision the investors have made after they received all kinds of information materialize the movement of the price of the security ultimately. So, this paper define the extent of the price movement of the security as focus event, and discuss the investor behavior by the overreaction test. After tested the overreaction hypothesis, the paper build a behavioral financial analysis frame based on the existing behavioral financial theories and analyze the empirical results in the frame.
The paper reaches some conclusions as follows:
1. There is not short-term overreaction in Chinese security market. The return manifests distinct momentum effect. This tells us that the investors' trading action deviate from the mean value continually more than regress to it after the price movement.
2. There is difference of t value between the A shares ,B shares and funds of Shanghai security market. The t value of A shares is the most distinct. As time passed, t value turned unconspicuous.
3. The proportion of the difference of the portfolios is different between the up phase and the down phase. In the up phase, the difference of the portfolios is constituted mainly by the winner portfolio. Whereas, in the down phase , it is constituted mainly by the loser portfolio.
4. The different extent of the price movement affect the investors' trading action differently.
The contributions of the paper include:
1. Test the short-term overreaction hypothesis of the investors' trading action in Chinese security market for the first time. Erenow, there is not test of overreaction with data of days in China.
2. Build a new behavioral financial frame based on the existed behavioral financial theories, and interpreted the empirical results under the frame. For A
shares, we have obtained a satisfying analytical result and extend the application of the behavioral financial theories.
引文
1. Ahmet Baytas, Nusret Cakici, "Do markets overreact: International evidence", Journal of Banking & Finance 23 (1999) 1121—1144
2. Amihud Y., Mendelson H., "Trading mechanisms and stock returns: an empirical investigation", Journal of Finance (1987)42, 533-553
3. Alou Brav, J.B.Heaton, "Competing Theories of Financial Anomalies", The Review of Financial Studies 2002 Volume 15 No.2
4. Barberis N., Shleifer A., Vishny R., "A model of investor sentiment", Journal of Financial Economics (1998)49, 307-343
5. Bernard V., Thomas J., "Post-earnings announcement drift: delayed response or risk premium", Journal of Accounting Research (1989) 27, 1-36
6. Brad M. Barber, Terrance Odean, "The Courage of Misguided Convictions", Financial Analysts Journal 1999 Vol 42
7. Chang R.P., McLeavey, D.W., Rhee S.G., "Short-term abnormal returns of the contrarian strategy in the Japanese stock market", Journal of Business Finance and Accounting (1995)22, 1035-1048.
8. Chopra N., Lakonishok J., Ritter J.R., "Measuring abnormal performance: Do stocks overreact?", Journal of Financial Economics (1992) 31, 235-268.
9. Daniel K., Hirshleifer D., Subrahmanyam A., "Investor psychology and security market under-and overreactions", Journal of Finance(1998) 53, 1838-1885
10. Darren D. Lee, Howard Chan, Robert W. Faff, Petko S. Kalev, "Short-term contrarian investing/is it profitable?... Yes and No", Journal of Multinational Financial Management 13(2003) 385—404
11. Davidson, "Overreaction and Market Efficiency", Journal of Financial Reasearch (1989) March
12. David Lkenberry, Josef Lakonishok,Theo Vermaelen, "Market underreaction to open market share repurchases", Journal of Financial Economics 39 (1995) 181—208
13. DeLong B.. A. Shleifer, L. Summers, R. Waldmann, "The Survival of Noise Trader", Journal of Business (I99I) Vol.64, no. 1 (January). 1-19
14. Eli Amir, Yoav Ganzach, "Overreaction and Underreaction in Analysts' Forecasts", Journal of Economic Behavior and Organization
15. Eric C. Chang, Grant R. McQueen, J. Michael Pinegar, "Cross-autocorrelation in Asian stock markets", Pacific-Basin Finance Journal 7 1999 471-493
16. Eugene F. Fama, "Market effciency, long-term returns, and behavioral finance", Journal of Financial Economics 49(1998) 283-306
17. Fama, Eugene, "The Market Efficiency, Long-Term Return,and Behavioral Finance", Journal of Financial Economics (1998) 49,No.3: 283—30.
18. Gishan Dissanaike, "Are stock price reversals really asymmetric?", Journal of Banking & Finance 20(1996) 189—201
19. Grinblatt M., Titman S.,Wermers R., "Momentum investment strategies, portfolio performance,and herding: a study of mutual fund behavior", American Economic Review (1996) 85, 5
20. Gunduz Caginalp, David Porter, Vernon Smith, "Momentum and overreaction in experimental asset markets International", Journal of Industrial Organization 18 (2000) 187-204
21. Hameed A., Yuanto K., "Momentum strategies, evidence from the pacific basin stock markets", National University of Singapore, working paper (www.ssrn.com). (2000)
22. Hiromichi Tamura, "Individual-Analyst Characteristics and Forecast Error", Financial Analysts Journal July/August 2002 Vol. 58 No. 4
23. Hong H., Stein J.C., "A unified theory of underreaction, momentum trading and overreaction in assetmarkets.", NBER working paper (www.nber.org). (1997)
24. Jaap van der Harta, Erica Slagterb, Dick van Dijkc, "Stock selection strategies in emerging markets", Journal of Empirical Finance 10(2003) 105-132
25. Jegadeesh N., Titman S., "Returns to buying winners and selling losers: Implications for stock market efficiency.", Journal of Finance (1993) 48. 65-91
26. Jegadeesh N., Titman S., "Overreaction, delayed reaction, and contrarian profits.", Review of Financial Studies (1995) 8, 973-993
27. Jihong Xiang, Jia He, Min Cao, "Continuous overreaction, insiders trading activities and momentum strategies", Journal of Multinational Financial Management 12 (2002) 429-449
28. Johnathan C. Muna, Geraldo M. Vasconcellosb, Richard Kishb, "Tests of the Contrarian Investment Strategy Evidence from the French and German stock
markets", International Review of Financial Analysis8:3 (1999) 215-234
29. Johnathan C. Muna, Geraldo M. Vasconcellosb, Richard Kish, "The Contrarian/Overreaction Hypothesis An analysis of the US and Canadian stock markets", Global Finance Journal 11(2000) 53—72
30. Joseph Kang, Ming-Hua Liu, Sophie Xiaoyan Ni, "Contrarian and momentum strategies in the China stock market: 1993-2000", Pacific-Basin Finance Journal 10 (2002) 243-265
31. Kahneman, Daniel, A. Tversky, "Prospect Theory: An Analysis of Decision under Risk", Econometrica(1979), Vol.47, no. 2(March): 263—291
32. Kiseok Nam, Chong Soo Pyun, Stephen L. Avard, "Asymmetric reverting behavior of short—horizon stock returns: An evidence of stock market overreaction", Journal of Banking&Finance 25(2001) 807—824
33. Kiseok Nama, Chong Soo Pyun, Augustine C. Arize, "Asymmetric meanreversion and contrarian profits: ANST-GARCH approach", Journal of Empirical Finance 9(2002) 563-588
34. Lakonishok J., A. Shleifer, R. Vishny, "Contrarian Invest-ment, Extrapolation, and Risk", Journal of Finance, (1994)vol. 49, no. 5
35. Lehmann, B.N., "Fads, martingales and market efficiency", Quarterly Journal of Economics (1990) 105, 1-28.
36. Lo.A., MacKinlay, "When are contrarian profits due to stock market overreaction?", Review of Financial Studies (1990)3, 175-250
37. Marc Bremer, Takato Hiraki, "Volume and individual security returns on the Tokyo Stock Exchange", Pacific-Basin Finance Journal 7 1999 351-370
38. M. Ameziane Lasfer, Arie Melnik, Dylan C. Thomas, "Short-term reaction of stock markets in stressful circumstances", Journal of Banking & Finance 27 (2003) 1959-1977
39. Mark A. Cassano, "Learning and mean reversion in asset returns", The Quarterly Review of Economics and Finance 39 (1999) 529-545
40. Mendenhall R., "Evidence of possible underweighting of earnings-related information", Journal of Accounting Research (1991)29, 170-180
41. Meir Statman, "Behavioral Finance: Past Battles and Future Engagements", Financial Analysts Journal 1999 Vol 42
42. Michael J. Cooper, William E. Jackson, Gary A. Patterson, "Evidence of
predictability in the cross-section of bank stock returns", Journal of Banking & Finance 27 (2003) 817-850
43. Michael Theobalda, Peter Yallup, "Determining security speedof adjustment coefficients", Journal of Financial Markets 7 (2002) 75—96
44. Pettengill G., Jordan B., "The overreaction hypothesis, firm size, and stock market seasonality", Journal of Portfolio Management (1990) 16, 60-64
45. Priya Raghubir, Sanjiv Ranjan Das, "A Case for Theory—Driven Experimental Equity", Financial Analysts Journal 1999 Vol 42
46. Randolph B. Cohena, Paul. Gompersa, Tuomo Vuolteenahob, "Who underreacts to cash-flow news?evidence from trading between individualsand institutions", Journal of Financial Economics 66 (2002) 409-462
47. Robert B. Durand, Douglas Scott, "iShares Australia: a clinical study in international behavioral finance", International Review of Financial Analysis 12(2003) 223-239
48. Robert Bloomfielda, Jeffrey Hales, "Predicting the next step of a random walk: experimental evidence of regime-shifting beliefs", Journal of Financial Economics 65 (2002) 397-414
49. Robert Bloomfield, Robert Libby, Mark W. Nelson, "Underreactions, overreactions and moderated confidence", Journal of Financial Markets 3 (2000) 113—137
50. Robert J.Shiller,Bubbles, "Human,Judgement,and Expert Opinion", Financial Analysts Journal May/June 2002 Vol.58 No.3
51. Schiereck D., DeBondt W., Weber M., "Contrarian and momentum strategies in Germany", Financial Analysts Journal(1999)55, 104-116
52. Werner F.M.De Bondt, Richard Thaler, "Does the Stock Market Overreact?", The .Journal of Finance July 1985 Vol Ⅺ, No. 3
53．马兴，于新生，“理性的困惑：金融决策中的人类行为分析—兼“行为金融学”简述”，《世界经济文汇》1998年第6期
54．杨惠敏、魏斌、“行为金融学：理论探讨和现实运用”，《经济评论》2000年第6期
55．杨胜刚，刘吴拓，“金融噪声交易理论对传统金融理论的挑战”，《经济学动态》2001年5月
56．黄树青，“行为金融学与数理金融学论争”，《经济学动态》2002年1月
57．赵学军，王永宏，“中国股市“惯性策略”和“反转策略”的实证分析”，第五届会员单位、基金管理公司研究成果评选 2002
58．张永东，毕秋香，“日内价格与短期过度反应”，《现代财经》2002年1期47—50
59．沈艺峰，吴世农，“我国证券市场过度反应了吗?”《经济研究》1999年第2期
60．张人骥，朱平芳，王怀芳，“上海证券市场过度反应的实证检验”，《经济研究》1998年第5期
61．赵宇龙，“会计盈余披露的信息含量”，《经济研究》1998年第7期
62．何承锋，“投资者行为模式与证券资产价格决定理论的演变”，《财贸经济》2001年第4期
63．文淑惠，“理性与非理性：证券市场投资者行为分析”，《四川大学学报》2001年第2期
64．纪路，牛芳，“走出理性误区：行为金融理论对经典现代金融理论的挑战”，《当代经济科学》2000年7月
65．刘俊，“行为金融学理论与投资基金经理的选择”，《财经研究》2002年4月
66．张亦春，周颖刚，“论心理分析流派与中国股市有效性—从行为金融学说起”，《金融科学》2001年第4期
67．韩海平，陶燕红，方兆本，“行为金融学综述”，《经济研究》2002年第1期
68．王怀芳，韩星，“股票市场的过度反应”，《资本市场杂志》2000年第3期46—47
69．欧梅萍，黄志忠，“股票收益的反转现象与解释”，《经济师》2002年第7期129—130
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2. Amihud Y., Mendelson H., "Trading mechanisms and stock returns: an empirical investigation", Journal of Finance (1987)42, 533-553
3. Alou Brav, J.B.Heaton, "Competing Theories of Financial Anomalies", The Review of Financial Studies 2002 Volume 15 No.2
4. Barberis N., Shleifer A., Vishny R., "A model of investor sentiment", Journal of Financial Economics (1998)49, 307-343
5. Bernard V., Thomas J., "Post-earnings announcement drift: delayed response or risk premium", Journal of Accounting Research (1989) 27, 1-36
6. Brad M. Barber, Terrance Odean, "The Courage of Misguided Convictions", Financial Analysts Journal 1999 Vol 42
7. Chang R.P., McLeavey, D.W., Rhee S.G., "Short-term abnormal returns of the contrarian strategy in the Japanese stock market", Journal of Business Finance and Accounting (1995)22, 1035-1048.
8. Chopra N., Lakonishok J., Ritter J.R., "Measuring abnormal performance: Do stocks overreact?", Journal of Financial Economics (1992) 31, 235-268.
9. Daniel K., Hirshleifer D., Subrahmanyam A., "Investor psychology and security market under-and overreactions", Journal of Finance(1998) 53, 1838-1885
10. Darren D. Lee, Howard Chan, Robert W. Faff, Petko S. Kalev, "Short-term contrarian investing/is it profitable?... Yes and No", Journal of Multinational Financial Management 13(2003) 385—404
11. Davidson, "Overreaction and Market Efficiency", Journal of Financial Reasearch (1989) March
12. David Lkenberry, Josef Lakonishok,Theo Vermaelen, "Market underreaction to open market share repurchases", Journal of Financial Economics 39 (1995) 181—208
13. DeLong B.. A. Shleifer, L. Summers, R. Waldmann, "The Survival of Noise Trader", Journal of Business (I99I) Vol.64, no. 1 (January). 1-19
14. Eli Amir, Yoav Ganzach, "Overreaction and Underreaction in Analysts' Forecasts", Journal of Economic Behavior and Organization
15. Eric C. Chang, Grant R. McQueen, J. Michael Pinegar, "Cross-autocorrelation in Asian stock markets", Pacific-Basin Finance Journal 7 1999 471-493
16. Eugene F. Fama, "Market effciency, long-term returns, and behavioral finance", Journal of Financial Economics 49(1998) 283-306
17. Fama, Eugene, "The Market Efficiency, Long-Term Return,and Behavioral Finance", Journal of Financial Economics (1998) 49,No.3: 283—30.
18. Gishan Dissanaike, "Are stock price reversals really asymmetric?", Journal of Banking & Finance 20(1996) 189—201
19. Grinblatt M., Titman S.,Wermers R., "Momentum investment strategies, portfolio performance,and herding: a study of mutual fund behavior", American Economic Review (1996) 85, 5
20. Gunduz Caginalp, David Porter, Vernon Smith, "Momentum and overreaction in experimental asset markets International", Journal of Industrial Organization 18 (2000) 187-204
21. Hameed A., Yuanto K., "Momentum strategies, evidence from the pacific basin stock markets", National University of Singapore, working paper (www.ssrn.com). (2000)
22. Hiromichi Tamura, "Individual-Analyst Characteristics and Forecast Error", Financial Analysts Journal July/August 2002 Vol. 58 No. 4
23. Hong H., Stein J.C., "A unified theory of underreaction, momentum trading and overreaction in assetmarkets.", NBER working paper (www.nber.org). (1997)
24. Jaap van der Harta, Erica Slagterb, Dick van Dijkc, "Stock selection strategies in emerging markets", Journal of Empirical Finance 10(2003) 105-132
25. Jegadeesh N., Titman S., "Returns to buying winners and selling losers: Implications for stock market efficiency.", Journal of Finance (1993) 48. 65-91
26. Jegadeesh N., Titman S., "Overreaction, delayed reaction, and contrarian profits.", Review of Financial Studies (1995) 8, 973-993
27. Jihong Xiang, Jia He, Min Cao, "Continuous overreaction, insiders trading activities and momentum strategies", Journal of Multinational Financial Management 12 (2002) 429-449
28. Johnathan C. Muna, Geraldo M. Vasconcellosb, Richard Kishb, "Tests of the Contrarian Investment Strategy Evidence from the French and German stock
markets", International Review of Financial Analysis8:3 (1999) 215-234
29. Johnathan C. Muna, Geraldo M. Vasconcellosb, Richard Kish, "The Contrarian/Overreaction Hypothesis An analysis of the US and Canadian stock markets", Global Finance Journal 11(2000) 53—72
30. Joseph Kang, Ming-Hua Liu, Sophie Xiaoyan Ni, "Contrarian and momentum strategies in the China stock market: 1993-2000", Pacific-Basin Finance Journal 10 (2002) 243-265
31. Kahneman, Daniel, A. Tversky, "Prospect Theory: An Analysis of Decision under Risk", Econometrica(1979), Vol.47, no. 2(March): 263—291
32. Kiseok Nam, Chong Soo Pyun, Stephen L. Avard, "Asymmetric reverting behavior of short—horizon stock returns: An evidence of stock market overreaction", Journal of Banking&Finance 25(2001) 807—824
33. Kiseok Nama, Chong Soo Pyun, Augustine C. Arize, "Asymmetric meanreversion and contrarian profits: ANST-GARCH approach", Journal of Empirical Finance 9(2002) 563-588
34. Lakonishok J., A. Shleifer, R. Vishny, "Contrarian Invest-ment, Extrapolation, and Risk", Journal of Finance, (1994)vol. 49, no. 5
35. Lehmann, B.N., "Fads, martingales and market efficiency", Quarterly Journal of Economics (1990) 105, 1-28.
36. Lo.A., MacKinlay, "When are contrarian profits due to stock market overreaction?", Review of Financial Studies (1990)3, 175-250
37. Marc Bremer, Takato Hiraki, "Volume and individual security returns on the Tokyo Stock Exchange", Pacific-Basin Finance Journal 7 1999 351-370
38. M. Ameziane Lasfer, Arie Melnik, Dylan C. Thomas, "Short-term reaction of stock markets in stressful circumstances", Journal of Banking & Finance 27 (2003) 1959-1977
39. Mark A. Cassano, "Learning and mean reversion in asset returns", The Quarterly Review of Economics and Finance 39 (1999) 529-545
40. Mendenhall R., "Evidence of possible underweighting of earnings-related information", Journal of Accounting Research (1991)29, 170-180
41. Meir Statman, "Behavioral Finance: Past Battles and Future Engagements", Financial Analysts Journal 1999 Vol 42
42. Michael J. Cooper, William E. Jackson, Gary A. Patterson, "Evidence of
predictability in the cross-section of bank stock returns", Journal of Banking & Finance 27 (2003) 817-850
43. Michael Theobalda, Peter Yallup, "Determining security speedof adjustment coefficients", Journal of Financial Markets 7 (2002) 75—96
44. Pettengill G., Jordan B., "The overreaction hypothesis, firm size, and stock market seasonality", Journal of Portfolio Management (1990) 16, 60-64
45. Priya Raghubir, Sanjiv Ranjan Das, "A Case for Theory—Driven Experimental Equity", Financial Analysts Journal 1999 Vol 42
46. Randolph B. Cohena, Paul. Gompersa, Tuomo Vuolteenahob, "Who underreacts to cash-flow news?evidence from trading between individualsand institutions", Journal of Financial Economics 66 (2002) 409-462
47. Robert B. Durand, Douglas Scott, "iShares Australia: a clinical study in international behavioral finance", International Review of Financial Analysis 12(2003) 223-239
48. Robert Bloomfielda, Jeffrey Hales, "Predicting the next step of a random walk: experimental evidence of regime-shifting beliefs", Journal of Financial Economics 65 (2002) 397-414
49. Robert Bloomfield, Robert Libby, Mark W. Nelson, "Underreactions, overreactions and moderated confidence", Journal of Financial Markets 3 (2000) 113—137
50. Robert J.Shiller,Bubbles, "Human,Judgement,and Expert Opinion", Financial Analysts Journal May/June 2002 Vol.58 No.3
51. Schiereck D., DeBondt W., Weber M., "Contrarian and momentum strategies in Germany", Financial Analysts Journal(1999)55, 104-116
52. Werner F.M.De Bondt, Richard Thaler, "Does the Stock Market Overreact?", The .Journal of Finance July 1985 Vol Ⅺ, No. 3
53．马兴，于新生，“理性的困惑：金融决策中的人类行为分析—兼“行为金融学”简述”，《世界经济文汇》1998年第6期
54．杨惠敏、魏斌、“行为金融学：理论探讨和现实运用”，《经济评论》2000年第6期
55．杨胜刚，刘吴拓，“金融噪声交易理论对传统金融理论的挑战”，《经济学动态》2001年5月
56．黄树青，“行为金融学与数理金融学论争”，《经济学动态》2002年1月
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