An application of the information-adjusted noise model to the Shenzhen stock market

摘要: Purpose – The purpose of this paper is to: first, test if information-adjusted noise model (IANM) can be applied in China; second, quantify trader risk, overreaction, underreaction and information pricing errors that market; third, explain the relationship between risk return. Design/methodology/approach authors use a behavioural asset (BAPM), CAPM, proposed by Ramiah Davidson (2010). Findings findings show traders are active 99.7 per cent time on Shenzhen A-share market. Furthermore, our results suggest market overreacts 41 time, underreacts 18 occur 40 time. Originality/value Various methods have been to Chinese stock an effort measure trading activities all them failed account for arrival. Our study uses superior al...