超前信息下投资者策略交易及价格反转效应——兼论信息技术对金融市场的影响

管理评论 ›› 2025, Vol. 37 ›› Issue (5): 43-52.

• 经济与金融管理 • 上一篇

超前信息下投资者策略交易及价格反转效应——兼论信息技术对金融市场的影响

曾庆铎^1,2, 徐扬³, 陈彬彬⁴, 刘善存³

1. 广东工业大学经济学院, 广州 510520;
2. 广东工业大学数字经济与数据治理重点实验室, 广州 510520;
3. 北京航空航天大学经济管理学院, 北京 100083;
4. 山东财经大学金融学院, 济南 250014

收稿日期:2022-03-08 发布日期:2025-06-18
作者简介:曾庆铎，广东工业大学经济学院讲师，博士；徐扬（通讯作者），北京航空航天大学经济管理学院副教授，博士；陈彬彬，山东财经大学金融学院副教授，博士；刘善存，北京航空航天大学经济管理学院教授，博士生导师，博士。
基金资助:
广东省哲学社会科学规划项目(GD21YYJ10)；广东省基础与应用基础研究基金区域联合基金项目(2021A1515110469)；国家自然科学基金项目(72001013)；教育部人文社会科学研究基金项目(22YJCZH013)

Advanced Information, Strategic Trading and Price Reversal: The Impact of Information Technology on Financial Market

Zeng Qingduo^1,2, Xu Yang³, Chen Binbin⁴, Liu Shancun³

1. School of Economics, Guangdong University of Technology, Guangzhou 510520;
2. Key Laboratory of Digital Economy and Data Governance, Guangdong University of Technology, Guangzhou 510520;
3. School of Economics and Management, Beihang University, Beijing 100083;
4. School of Finance, Shandong University of Finance and Economics, Jinan 250014

Received:2022-03-08 Published:2025-06-18

摘要/Abstract

摘要： 大数据等信息技术的广泛运用强化了投资者挖掘信息的能力，形成了获取超前信息的时间优势。针对不同的投资期限偏好，本文探索了超前信息对投资者策略交易行为及均衡定价的影响。研究结论表明：在短期交易环境下，当且仅当超前信息的精度大于(小于)某临界值时，技术交易者对超前信息的交易强度大于(小于)私有信息的交易强度。相对于长期交易者，短期交易者面临第二期价格波动风险，在第一期交易较为谨慎，对私人信息而言，交易强度小于长期交易者，而对超前信息而言，交易强度大于长期交易者。进一步研究发现，随着超前信息在第一期融入价格，价格在第二期呈现反转。研究结论将为厘清不同期限水平下的策略交易机制和定价机制做出理论贡献，同时，也将为防范信息技术引发的金融风险提供有意义的理论指引。

关键词: 超前信息, 策略交易, 短期交易, 多重均衡, 理性预期

Abstract: The perfect application of big data and other information technologies has strengthened investors' ability to obtain information, forming the advantage of obtaining advanced information. In this paper, we explore the influence of advanced information on investors' strategic trading behavior and equilibrium prices in light of different investment horizons preferences. The results show that, in the shortterm trading environment, if and only if the accuracy of the advanced information is greater than a certain critical value, the trading intensity of technical traders as for the advanced information is greater than that of the private information, and vice versa. In addition, compared with long-term traders, short-term traders face the risk of price fluctuations in the second period, and they are more cautious in the first period. For private information, the trading intensity is lower than that of long-term traders, while for advanced information, the trading intensity is greater than long-term traders. Further research proves that as the advanced information is incorporated into the price in the first period, the price reverses in the second period. The research conclusions will make theoretical contributions to clarifying the strategic trading mechanism and pricing mechanism under different investment horizons, and will also provide meaningful theoretical guidance for preventing financial risks caused by information technology.

Key words: advanced information, strategic trading, short-term trading, multiple equilibria, rational expectation

曾庆铎, 徐扬, 陈彬彬, 刘善存. 超前信息下投资者策略交易及价格反转效应——兼论信息技术对金融市场的影响[J]. 管理评论, 2025, 37(5): 43-52.

Zeng Qingduo, Xu Yang, Chen Binbin, Liu Shancun. Advanced Information, Strategic Trading and Price Reversal: The Impact of Information Technology on Financial Market[J]. Management Review, 2025, 37(5): 43-52.

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超前信息下投资者策略交易及价格反转效应——兼论信息技术对金融市场的影响

Advanced Information, Strategic Trading and Price Reversal: The Impact of Information Technology on Financial Market

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