A股程序化交易与盈余公告前股价信息含量  

Algorithmic Trading in A-share and Stock Price Informativeness before Earnings Announcements

作　　者：张小日 孙芳芳 叶强 ZHANG Xiaori;SUN Fangfang;YE Qiang(School of Management,Guangdong University of Technology,Guangzhou 510520,China;School of Management,Harbin Institute of Technology,Harbin 150001,China;School of Management,University of Science and Technology of China,Hefei 230026,China)

机构地区：[1]广东工业大学管理学院,广州510520 [2]哈尔滨工业大学经济与管理学院,哈尔滨150001 [3]中国科学技术大学管理学院,合肥230026

出　　处：《计量经济学报》2024年第6期1441-1466,共26页China Journal of Econometrics

基　　金：国家自然科学基金创新研究群体项目(72121001);教育部人文社会科学项目(24YJC630182)。

摘　　要：近年来程序化交易在A股市场兴起,其对资本市场定价效率的影响日益受到关注.本文以创业板和科创板公司为研究对象,旨在探究程序化交易对企业披露季度盈余公告前股价信息含量的影响.本文首先结合A股交易制度和投资者结构特征,构建适应于A股市场的程序化交易指标.在此基础上,实证检验发现程序化交易降低了盈余公告前股价的信息含量,即程序化交易的流动性需求策略发挥主导作用.进一步的机制分析揭示,程序化交易对股价信息含量的消极影响源自于提高了慢速投资者的交易成本,以及减少了知情交易者的大额订单.最后,研究发现程序化交易对知情交易者存在“挤出效应”的同时也减弱了噪音交易引起的股价异常波动.本研究加深了对程序化交易在市场层面的经济后果的理解,对我国监管机构完善程序化交易相关制度具有参考意义.Algorithmic trading has emerged in the A-share market in recent years,and its impact on capital market pricing efficiency has received wide attention across industry and academia.This paper focus on companies listed on the SZE Growth Enterprises Market and SSE STAR Market,aiming to explore the influence of algorithmic trading on the information content of stock prices before the release of quarterly earnings announcements.Firstly,by considering the trading system features and investor structure characteristics of the A-share market,this paper constructs algorithmic trading indicators tailored to the A-share market.Based on these indicators,empirical tests reveal that algorithmic trading reduces the information content of stock prices before earnings announcements,indicating that the liquidity demand strategy of algorithmic trading plays a dominant role.Further mechanism analysis shows that the negative impact of algorithmic trading on stock price information content stems from increased transaction costs for slower investors and reduced large orders from informed traders.Lastly,the research finds that while algorithmic trading exhibits a crowding-out effect on informed traders,it also mitigates abnormal stock price fluctuations caused by noise trading.This study deepens our understanding of the economic consequences of algorithmic trading at the market level and provides insights for regulators to improve related policies concerning algorithmic trading.

关 键 词：程序化交易 盈余公告 股价信息含量 

分 类 号：F83[经济管理—金融学]