Abstract: The efficiency of market information has always been a hot topic in academic research. Efficient market information efficiency plays an important role in improving resource allocation efficiency, promoting technological progress, and economic growth. Studying the relationship between information and market efficiency and its influencing factors is of great significance for improving market information efficiency and promoting the healthy development of the capital market.
Studying the relationship between information and its market efficiency, as well as its influenced factors, has a very important theoretical and practical significance for improving market information efficiency and promoting the healthy development of capital market. This paper studies information efficiency and the mechanism of financial market response to information from the perspectives of traders' limited rationality and correlation between information and noise, by using a two-period pricing model including a single risky asset and three types of traders. In order to overcome the shortcomings of traditional index for measuring market information efficiency, the information contribution to the market (ICM) is put forward. The research outcomes show that: there is an inverted U-shaped relationship between the information public degree measured by the proportion of informed traders in all traders and ICM which evaluates information efficiency. This conclusion combines the research findings of LEE and LIU (2011), GOLDSTEIN et al. (2014). LEE and LIU (2011) found that when there is less information in the market, as the number of informed traders increases, the capitalization of private information into stock prices leads to increased stock price volatility and improved information efficiency; GOLDSTEIN et al. (2014) found that increasing the number of informed traders may reduce market information efficiency.
Under the condition of traders' limited rationality, ICM of the underreaction is higher than that of the appropriate reaction and overreaction, when there are small quantities of information in the financial market. ICM of the appropriate reaction is higher than that of underreaction and overreaction, when there are more quantities of information in the financial market. YOU Jiaxing(2008) found that investors who underreact are mainly institutional investors, while investors who overreact are mainly individuals. Therefore, the information efficiency of underreacting to market information is higher than that of overreacting. On the other hand, when most traders in the market have already obtained this information, a conservative response to the information is not conducive to price discovery. Limited to negative correlation between information and noise, ICM will decrease. Under the conditions of both traders' limited rationality and correlation between information and noise, a decrease in ICM will have a synergistic effect.
At last, the correctness of this paper's conclusion is verified by using the data of Chinese stock market. To analyze the impact of bounded rationality, noise, and other factors on the relationship between information and its market contribution, this paper divides the entire sample into bull and bear market sub samples. It is generally believed that investors are less rational and noisy in bull markets, but relatively rational and less noisy in bear markets. Due to the low degree of information disclosure, the market contribution of underreaction is greater than that of overreaction. In addition, in most cases, it can be assumed that the difference in the contribution of information markets in bull and bear markets is the result of the joint action of investor bounded rationality and noise, which proves the above conclusion.
This paper theoretically explains the reasons why investor irrationality and noise reduce market information efficiency, and also for the mechanisms behind some phenomena in the market (such as market efficiency being higher in markets with underreaction than with overreaction), providing reference suggestions for policymakers to improve market information efficiency. When the degree of information disclosure is low, the goal is to more quantities of information disclosure.Otherwise, the goal is to improve information quality. In addition, investors should be guided to invest rationally and prevent excessive speculation.

Key words: information public degree, traders'limited rationality, correlation between information and noise, information contribution to market

摘要： 基于包含三类交易者的单资产两期定价模型,从交易者有限理性、信息与噪声关系角度研究了金融市场对信息反应的动态机理及信息效率。结果发现:信息公开程度与其市场贡献度呈倒U型关系。在交易者有限理性条件下,当信息公开程度较低时,信息反应不足时的信息市场贡献度大于适度和过度反应,当市场信息公开程度较高时,信息反应不足和过度的市场贡献度均小于信息反应适度时的市场贡献度;信息与噪声之间的负相关关系会使信息市场贡献度降低。两个条件均存在的情况下,信息市场贡献度的降低幅度会出现叠加效应。最后,应用中国股票市场的案例验证了本文所得结论的正确性。本文从理论上解释了投资者非理性及噪声降低市场信息效率的原因,也解释了市场中一些现象产生(如信息反应不足的市场效率高于反应过度)的机理,为政策制定者提高市场信息效率提供了参考建议。

关键词: 信息公开程度, 交易者有限理性, 信息与噪声关系, 信息市场贡献度