Noise Trader Risk: Evidence From Vietnam Stock Market

Cuong, Phan Khoa; Ngọc, Trần Thị Bích; Cong, Bui Thanh; Chau, Vo Thi Quynh

doi:10.26459/hueuni-jed.v128i5c.5083

Cited by 3 publications

(4 citation statements)

References 20 publications

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“…Not only in the share market, but noise traders create positive shocks even in the cryptocurrency mark et al so (Baur and Dimpfl, 2018). Although the above studies clearly show that noise traders do affect the stock market, Cuong et al (2019) are of the view that the impact of noise traders cannot be measured in the Vietnam stock exchange. The existence of noise traders has been witnessed in the securities market of many countries, namely, Vietnam (Cuong et al , 2019), the USA (Ahmed, 2019), Johannesburg (Rupande et al , 2019), India (Savita, 2020), Nigeria (Emmanuel and Ahmed, 2020) and Amman (Khasawneh, 2017).…”

Section: Discussionmentioning

confidence: 88%

“…Although the above studies clearly show that noise traders do affect the stock market, Cuong et al (2019) are of the view that the impact of noise traders cannot be measured in the Vietnam stock exchange. The existence of noise traders has been witnessed in the securities market of many countries, namely, Vietnam (Cuong et al , 2019), the USA (Ahmed, 2019), Johannesburg (Rupande et al , 2019), India (Savita, 2020), Nigeria (Emmanuel and Ahmed, 2020) and Amman (Khasawneh, 2017). These studies suggest that noise traders are those who are uninformed, but on the contrary, they formulate an imperative part of the functioning of the securities market. Secondly, traits of noise traders have been ascertained by various researchers, and the impact of traits on their trading behaviour is also observed.…”

Section: Discussionmentioning

confidence: 88%

“…A new approach containing noise on an everyday basis named the “Opening noise trading model” has been suggested by Zargar and Kumar (2019). Later, Cuong et al (2019) argued that the impact of noise traders’ activities on the stock returns of Vietnam could not be ascertained. Ahmed (2019) conducted a study to acknowledge the existence of noise traders in the US equity market (S&P500 index).…”

Section: Content Analysismentioning

confidence: 99%

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A systematic literature review and bibliometric analysis of noise trading

Gupta

Walia

Singh

et al. 2022

QRFM

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Purpose This comprehensive study aims to take a punctilious approach intended to present qualitative and quantitative knowledge on the emerging concept of noise trading and identify the emerging themes associated with noise trading. Design/methodology/approach This study combines bibliometric and content analysis to review 350 publications from top-ranked journals published from 1986 to 2020. Findings The bibliometric and content analysis identified three major themes: the impact of noise traders on the functioning of the stock market, traits of noise traders and different proxies used to measure the impact of noise trading. Research limitations/implications This study undertakes research papers related to the field of finance, published in peer-reviewed journals and that too in the English language. Practical implications This study shall accommodate rational traders, portfolio consultants and other investors to gain deeper insights into the functioning of noise traders. This will further help them to formulate their trading/investment strategies accordingly. Originality/value The successful combination of the bibliometric and content analysis revealed major gaps in the literature and provided future research directions.

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Section: Discussionmentioning

confidence: 88%

Section: Discussionmentioning

confidence: 88%

Section: Content Analysismentioning

confidence: 99%

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A systematic literature review and bibliometric analysis of noise trading

Gupta

Walia

Singh

et al. 2022

QRFM

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“…Investors therefore respond wrongly to market noise and cause systematic cognitive biases. Behavioral finance theory considers how these irrational noise traders affect the operation of efficient markets (De Long et al, 1990 ; Cuong et al, 2019 ). Investor sentiment (De Long et al, 1990 ; Kumari and Mahakud, 2016 ) is one of the irrational factors that causes noise trading.…”

Section: Introductionmentioning

confidence: 99%

Using E-GARCH to Analyze the Impact of Investor Sentiment on Stock Returns Near Stock Market Crashes

Chen

Haga

2021

Front. Psychol.

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Purpose: Investor sentiment, the willingness of market participants to invest, is a difficult concept to measure. Exploring the relationship between investor sentiment and stock returns can reveal how investor sentiment affects the operation of the stock market. Such an understanding can assist market participants in making more rational investment decisions based on market laws. Such an understanding can also assist regulators in their roles of supervision and policy making.Methodology: Although the E-GARCH model has the advantage of considering volatility clustering, it has not previously been used to investigate the impact of investor sentiment changes on the Shanghai Composite Index's market return. This research therefore applies the E-GARCH approach to data from 2015 to 2018, to explore the influence of investor sentiment on the return rate of the Shanghai Composite Index.Main Findings: There are three main findings. First, when the investor sentiment is increased by the same amount, the rate of return before a stock market crash will have a smaller increase than the rate of change after the crash, which is a new finding. Second, the rate of return on stocks is susceptible to emotional sentiment, rather than simply depending on stock price. Third, the tendency of retail investors to follow the crowd is less in periods of pessimism than it is in periods of optimism, which, in turn, can push up stock yields.Application: Based on these research results, this article can provide insights to understand how investors' subjective judgments on future earnings affect their investment behavior and how great the impact is on the market. At the same time, it can help investors make more rational investment decisions based on an understanding of market laws, and help regulators with guidance for their supervision and policy making.Originality/Value: This paper contributes to the theory of the investor sentiment index, improving the index construction method by adding two sentiment proxy indicators: investor activity ACT and stock market leverage level. After constructing the sentiment index and comparing it with the stock market index (Shanghai Composite Index), the fit is found to be improved.

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Borsa İstanbul’da Gürültüye Dayali İşlem: Egarch-M Modeli̇ İle Geti̇ri̇ Oranlari Üzeri̇ndeki̇ Gürültü Etki̇si̇ni̇n Ölçümesi̇

BAHAR>¹,

Altay

2022

Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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Varlıkların temel değeri üzerinde etkisi olması gereken bilgi dışında yer alan ve rasyonel temelli alım satım işlemi dışında yeni bir habere dayalı olmayan işlemler olarak tanımlanabilen gürültüye dayalı işlemin finansal varlıkların fiyatları üzerinde bozucu bir etkiye sahip olduğu ve gürültüye dayalı işlem riskini oluşturduğu yaygın bir görüş olarak literatürde yer almaktadır. Gürültü olgusunun varlığı ve varlık fiyatları üzerindeki etkisinin ölçülmesi ise birbirinden oldukça farklı yöntemlerle yapılmaya çalışılmaktadır. Bu çalışmada 20.04.2000-17.09.2021 döneminde BİST-100 endeksi finansal zaman serilerinin gösterdiği değişen varyans, kalın kuyruklu dağılım ve bilgiye karşı asimetrik reaksiyona uygun bir yaklaşım olan EGARCH-M yöntemi ile modellenerek getiri oranı üzerindeki gürültü ve bilgi etkilerinin tahmin edilmesi amaçlanmıştır. Böylelikle alternatif gürültü ölçüm yaklaşımlarının literatürde belirtilen dezavantajlara sahip olmayan bir yöntemle gürültünün Borsa İstanbul’daki varlığının ölçümü ve gürültü riskinin zaman içindeki değişimi ortaya konulmuştur. Elde edilen bulgular piyasaya giren bilginin BİST-100 endeksi volatilitesi üzerindeki etkisinin asimetrik olduğu, olumsuz bilgilerin etkisinin olumlu bilgilerden daha fazla olduğu, gürültünün BİST-100 endeksi getiri oranları üzerindeki etki ortalamasının artırıcı, bilginin ise düşürücü olduğu ancak her iki etki ortalamasının da istatistiksel olarak anlamlı olmaması nedeniyle tahmin edilebilirliklerinin güç olduğu şeklindedir.

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Noise Trader Risk: Evidence From Vietnam Stock Market

Cited by 3 publications

References 20 publications

A systematic literature review and bibliometric analysis of noise trading

A systematic literature review and bibliometric analysis of noise trading

Using E-GARCH to Analyze the Impact of Investor Sentiment on Stock Returns Near Stock Market Crashes

Borsa İstanbul’da Gürültüye Dayali İşlem: Egarch-M Modeli̇ İle Geti̇ri̇ Oranlari Üzeri̇ndeki̇ Gürültü Etki̇si̇ni̇n Ölçümesi̇

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