沪、深两市证券交易噪音的比较

沪、深两市证券交易噪音的比较分析
徐光林 韩清 朱平芳
（上海财经大学经济学院）
内容提要 本文用沪、深两市的分时交易数据，在简单的假设条件下利用计量经济模型定量研究了两个市场噪声的大小、时间分布特征以及交易频率对噪声的影响。本文得到的主要结论是：(1) 上海市场的噪音比深圳市场的噪音大；(2) 两个市场开盘的噪音都比较小，然后平稳增加直到闭盘时才略有下降；(3) 上海市场的噪音随着交易频率的降低先增后减，而深圳市场的噪音随着交易频率的降低而降低。
关键词 噪声 噪声交易 分时交易 交易频率
中图分类号：F8 文献标识码：A
the Compare Analysis of Trading Noise at Shanghai and Shenzhen Stock Exchange
Xu Guanglin Han Qing Zhu Pingfang
(School of Economics, Shanghai University of Finance and Economics, Shanghai 200433, China)
Abstract: In this paper we use intraday data at Shanghai and Shenzhen stock exchange, through making economic model under simple hypothesis, to study the magnitude and the time-distribution characteristics of noise and the influence of trading frequency on noise. We conclude that:(1)the noise in Shanghai is bigger than in Shenzhen;(2) noise is small at opening and increases steadily until it is near closing, just with a slight drop at closing, in both stock markets;(3)if the trading frequency becomes lower, the noise in Shanghai market will first increase and then drop while in Shenzhen market the noise will drop.
Key words: noise; noise-trading; intraday trading; trading frequency