零股交易真的可以被市场忽视吗?——高频交易背景下国际学者的思考

Should Odd-lot Trading Be Neglected by Financial Market? A Thinking of International Scholars Based on Highfrequency Trading

资本市场上一直都存在零股交易,但早期的主流思想并不重视它。20世纪60年代后随着计算机的运用,零股交易更是淡出了市场视线;然而随着高价股和高频交易的出现,零股交易却重新崛起,成为影响信息传输、价格波动等市场微观结构的重要因素。虽然通过加权价格贡献模型和盈余公告进行的研究结果尚不能断定零股交易者是市场知情者,但国外学者已从不同角度证实零股交易对股票价格的形成和走势具有显著影响。所以,零股交易的重要性毋庸置疑,未来需要进一步明确其参与者的类型差异、理顺其行为对信息传递和股价波动的作用机制,提前考虑到零股交易对我国资本市场未来发展可能造成的影响。

Odd-lot trading has been in capital market. But the great attention wasn＇t given to it in the early mainstream. Since the 1960s, with the use of computers, odd-lot trading had faded out of the capital market. However, with the emergence of high- priced shares and high-frequency trade, odd-lot trading, has re-emerged as an important factor affecting the micro-structure including information transmission and price fluctuations. Although the research results through WPC model and earnings announcement still can＇t judge whether odd-lot traders are informed trader, foreign scholars have confirmed that odd-lot trading has a significant influence on the formation and trends of the stock price from different angles. Its importance is undoubtedly. In the future, we need to further clarify the different types of its participants, rationalize the mechanism of action of its behavior on information transfer and share price volatility, and consider in advance the possible impact of odd-lot trading to the future development of China＇s capital market.