【摘要】 本文从市场的信息功能角度出发,通过理论模型和实证研究,探讨了交易频率与股票信息效率之间的关系。理论研究发现,过高的交易频率有可能激励交易者忽略对基本面信息的研究,导致交易无法将更准确的信息反映到价格中,使市场整体信息效率下降。对中国股票市场的实证结果也表明,日均交易次数越多,股价对市场信息的反应速度就越慢,这种现象在小盘股上尤为明显,支持了理论模型的结论。更多还原

【Abstract】 This paper conducts a theoretical and empirical analysis of the relationship between trading frequency and stock price efficiency.The theoretical model shows that,more trading opportunities may induce the informed traders to participate in more trades without obtaining accurate information.As a consequence,only part of the information is incorporated into the price.The empirical test with a sample of stocks listed in Shanghai and Shenzhen Stock Exchange shows that stocks with higher average daily trading frequencies,have lower price efficiency,especially the mid and small - cap stocks.更多还原