交易者有限理性、信息噪声关系与金融市场信息效率  

Traders’Limited Rationality,Information-Noise Correlation,and Information Efficiency of Financial Market

作　　者：王明涛[1] 孙西明 WANG Mingtao;SUN Ximing(School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China;Postdoctoral Research Station,Shenwan Hongyuan Securities Co.,Ltd.,Shanghai 200031,China)

机构地区：[1]上海财经大学金融学院,上海200433 [2]申万宏源证券有限公司博士后科研工作站,上海200031

出　　处：《运筹与管理》2024年第7期180-186,共7页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(72072108)。

摘　　要：基于包含三类交易者的单资产两期定价模型,从交易者有限理性、信息与噪声关系角度研究了金融市场对信息反应的动态机理及信息效率。结果发现:信息公开程度与其市场贡献度呈倒U型关系。在交易者有限理性条件下,当信息公开程度较低时,信息反应不足时的信息市场贡献度大于适度和过度反应,当市场信息公开程度较高时,信息反应不足和过度的市场贡献度均小于信息反应适度时的市场贡献度;信息与噪声之间的负相关关系会使信息市场贡献度降低。两个条件均存在的情况下,信息市场贡献度的降低幅度会出现叠加效应。最后,应用中国股票市场的案例验证了本文所得结论的正确性。本文从理论上解释了投资者非理性及噪声降低市场信息效率的原因,也解释了市场中一些现象产生(如信息反应不足的市场效率高于反应过度)的机理,为政策制定者提高市场信息效率提供了参考建议。The efficiency of market information has always been a hot topic in academic research.Efficient market information efficiency plays an important role in improving resource allocation efficiency,promoting technological progress,and economic growth.Studying the relationship between information and market efficiency and its influencing factors is of great significance for improving market information efficiency and promoting the healthy development of the capital market.Studying the relationship between information and its market efficiency,as well as its influenced factors,has a very important theoretical and practical significance for improving market information efficiency and promoting the healthy development of capital market.This paper studies information efficiency and the mechanism of financial market response to information from the perspectives of traders’limited rationality and correlation between information and noise,by using a two-period pricing model including a single risky asset and three types of traders.In order to overcome the shortcomings of traditional index for measuring market information efficiency,the information contribution to the market(ICM)is put forward.The research outcomes show that:there is an inverted U-shaped relationship between the information public degree measured by the proportion of informed traders in all traders and ICM which evaluates information efficiency.This conclusion combines the research findings of LEE and LIU(2011),GOLDSTEIN et al.(2014).LEE and LIU(2011)found that when there is less information in the market,as the number of informed traders increases,the capitalization of private information into stock prices leads to increased stock price volatility and improved information efficiency;GOLDSTEIN et al.(2014)found that increasing the number of informed traders may reduce market information efficiency.Under the condition of traders’limited rationality,ICM of the underreaction is higher than that of the appropriate reaction and overreaction,when there are smal

关 键 词：信息公开程度 交易者有限理性 信息与噪声关系 信息市场贡献度 

分 类 号：F830.9[经济管理—金融学]