How Noise Trading Affects Markets: An Experimental Analysis

• 成果类型: Article
• 署名作者: Bloomfield, Robert; O'Hara, Maureen; Saar, Gideon
• 署名单位: Cornell University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn102
• 发表日期: 2009
• 页码: 2275
• 关键词: Asset markets; rational-expectations; Foreign investors; Security markets; stock returns; INFORMATION; EFFICIENCY; liquidity; BEHAVIOR; prices

摘要

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.