Advances in Economics, Management and Political Sciences
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Proceedings of the 2nd International Conference on Financial Technology and Business Analysis
Series Vol. 53 , 01 December 2023
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Unexplored Market Risks? The Impact of Noise Trading on the Transmission of Corporate Signal Utility — A Study Based on the Chinese Market
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Abstract
With the deepening of the academic research on behavioral finance, the theoretical system of noise trading is becoming more and more perfect. At present, however, is the so-called market noise trading on the relationship between the enterprise and the signal transmission utility and influence the research direction, there is no literature research and make a empirical report and a clear conclusion. On the basis of the existing noise measurement method, this article through to the selection of the Shanghai 50 index to determine the sample object, by industry, size, debt and growth ability determine the matching control samples, estimate the sampled stocks noise trading high frequency time series in the year of 2019; On this basis, using stepwise regression method and Spearman correlation coefficient method, the signal transmission noise deal for investors and enterprises the relationship between the utility and the empirical research. Research and analysis found that the current noise trading to enterprise's profit distribution and "merger and acquisition/significant contracts" two kind of announcement utility has obvious enhancement amplification; The noise trading on the first trading day after the release of the enterprise announcement signal will affect the utility multiple of the enterprise announcement. The conclusion of this paper is that investors' irrational noise trading will overreact to the announcement signals of listed companies, and bring unexpected effects to the market performance of listed companies. Enterprises should be especially cautious about the content and time of announcements on the premise of compliance.
Keywords
noise trading, signaling utility, sample stocks, matching stock
References
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Data Availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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- Volume Title
- Proceedings of the 2nd International Conference on Financial Technology and Business Analysis
- ISBN (Print)
- 978-1-83558-153-7
- ISBN (Online)
- 978-1-83558-154-4
- Published Date
- 01 December 2023
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/53/20230811
- Copyright
- 01 December 2023
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited