CAJ | 학술논문

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。
본문종시장적신식공능각도출발，통과이론모형화실증연구，탐토료교역빈솔여고표신식효솔지간적관계。이론연구발현，과고적교역빈솔유가능격려교역자홀략대기본면신식적연구，도치교역무법장경준학적신식반영도개격중，사시장정체신식효솔하강。대중국고표시장적실증결과야표명，일균교역차수월다，고개대시장신식적반응속도취월만，저충현상재소반고상우위명현，지지료이론모형적결론。
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 in- formed traders to participate in more trades without obtaining accurate infomlation. As a consequence, only part of the information is incorporated into the prioe. 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.