How Noise Trading Affects Markets: An Experimental Analysis
通过实验室市场研究无信息优势且无外生交易动机的交易者行为，发现他们像非理性反向噪声交易者，损害自身利益，虽增加市场深度和成交量、缩小买卖价差，但削弱价格对新信息的调整能力，且证券交易税对噪声交易和信息交易的影响相当。
We use a laboratory market to investigate the behavior of traders who lack informational advantages and have no exogenous reason to trade. We find that these uninformed traders behave largely as irrational contrarian "noise traders, " trading against recent price movements to their own detriment. The uninformed traders provide some benefits to the market: increasing market volume and depth, while reducing bid-ask spreads and the temporary price impact of trades. However, their noise trading also diminishes the ability of market prices to adjust to new information. A securities transaction tax reduces uninformed trader activity, but it reduces informed trader activity by approximately the same amount; as a result, the tax does not alter the impact of noise trading on the informational efficiency of the market. The Author 2009. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.