噪声交易与股票流动性:兼对“正(负)相关”理论的评析及“流动性黑洞”现象的解释

噪声交易与股票流动性都是行为金融研究的重点,但二者的相关性问题学界一直未能达成一致,"正负之争"不休。文章改进Kyle （1985）的假设,构建符合中国实际的流动性数理模型,模型表明：噪声交易与流动性负相关,且相关关系受信息不对称、风险厌恶度等因素的影响。进一步,文章以中国沪深300指数的成分股数据证实了"噪声交易-流动性"关系,发现其存在显著的月历效应和市场行情效应。文章对"正（负）相关"理论进行了梳理和评析,为争论的清晰化、明朗化做出贡献。

Noise Trading and Stock Liquidity: Comment on the “Positive (negative) Correlation” Theory and Explanation for the “Liquidity Black Hole”

The noise trading and stock liquidity are two key points of behavioral finance, but the relation between the two has not reach an agreement, and the debate between "positive correlation" and "negative correlation" continues. Fully considering the characteristics of Chinese stock market, the paper improved the Kyle model from four aspects (market participants, decision function, transaction mode and price mechanism), and derived the theoretical relation between noise trading and stock liquidity, discussed the influence of information asymmetry and risk tolerance on the "noise trading-stock liquidity" relation. Theoretical deduction revealed that:1) the larger(smaller) the noise trading, the worse(better) the stock liquidity; 2) the more serious (slight) the information asymmetry degree between rational investors and informed traders, the weaker (stronger) the "noise trading-stock liquidity" relation; 3) the larger (smaller) the risk tolerance of rational investors and informed traders, the stronger (weaker) the "noise trading-stock liquidity" relation. Subsequently, the data from Shanghai and Shenzhen 300 index component shares confirmed the negative effect of noise trading on stock liquidity:noise trading increases the volatility of stock prices, increases the investors' risk of holding stock, and then weakens the stock liquidity. This explains the situation of "thousands of stocks decline limit" and the phenomenon of "liquidity black hole" which appeared in June and July of 2015 successfully. Furthermore, according to the theoretical propositions of this paper, it is found that there is a significant lunar calendar effect in the "noise trading-stock liquidity" relation:compared to other trading days, the "noise trading-stock liquidity" relation appears to be weaker during March and April. Because during these two months, listed firms publish their annual report in succession, informed traders who share inside information in advance enjoy advantage over rational investors who do not. So, when they trade with each other, rational investors face larger risk and uncertainty. In this case, even if the degree of noise trading declined, the rational investors dare not invest hastily so as to avoid falling into the trap of informed traders. Given this, the willingness of rational investors to invest is limited, and the stock liquidity will not be improved significantly, so the "noise trading-stock liquidity" relation is weakened; on the contrary, the relation will be strengthened. Therefore, listed firms should pay more attention to make full use of trading days besides March and April, and timely introduce relevant measures to reduce noise trading and improve stock liquidity. Finally, there is a significant market effect in the "noise trading-stock liquidity" relation. Compared to bear market, the "noise trading-stock liquidity" relation in bull market appears to be stronger. The higher the risk tolerance, the more positive and bold the investors will be in investment activities. In this case, a given negative increment of noise trading may lead to a more large-scale arbitrage between rational investors and informed traders, which limits the duration and impact of the noise, and so make the stock liquidity to a greater extent. Considering that rational investors and informed traders have higher risk tolerance in bull market, the "noise trading-stock liquidity" relation is stronger; while weaker in bear market. This enlighten that, compared to bear market, the authorities should pay more attention to control noise trading during bull market, and in fact, this is the current dominant regulation and control idea of Securities Regulatory Commission:"control in bull market, ease in bear market".