We use full order book data from the Australian Securities Exchange to investigate how noise trading affects informational efficiency of securities prices. In aggregate, noise trading harms price efficiency. However, this is driven mainly by higher levels of noise trading, indicating a non-linear effect. Further, behind the aggregate effects lies rich heterogeneity in how noise trading affects informational efficiency cross-sectionally. Noise trading harms informational efficiency of large and liquid stocks but can be beneficial in small and illiquid stocks, indicating that noise trading affects different stocks differently.

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噪音交易如何影响信息效率：来自订单驱动市场的证据

我们使用来自澳大利亚证券交易所的完整订单簿数据来研究噪音交易如何影响证券价格的信息效率。总的来说，噪音交易损害了价格效率。然而，这主要是由更高水平的噪声交易驱动的，表明存在非线性效应。此外，在总体效应的背后隐藏着噪声交易如何影响横截面信息效率的丰富异质性。噪音交易会损害大型和流动性股票的信息效率，但对小型和非流动性股票可能有益，这表明噪音交易对不同股票的影响不同。