More trading is algorithmic or computer generated, and in markets where it is allowed, high frequency. However, what happens when there is an algorithmic trading error? This study attempts to answer that question by examining the August 16, 2013, fat-finger trade in Chinese equity and equity futures markets. We find that both markets were excessively volatile, illiquid, and positively skewed. Moreover, we document that index returns are predictable for a shorttime, indicating that the fat-finger event induced an inefficient market. Our results highlight the importance of market surveillance and regulation to lessen the damage of future fat-finger events.

本文旨在借助Hou和Moskovitz (2005)提出的反映市场摩擦的综合指标——价格时滞，考察不同市场摩擦对A股市场股票收益的影响特征及内在机理。研究发现，价格时滞越严重的股票未来收益越低，套利组合的收益高达每月1.36%。这不仅与美国股票市场的证据不同，而且难以被经典理论解释。本文从投机性需求角度对此提出了一种新的解释。价格时滞表明投资者对公共信息反应不足、过度依赖私有信息交易，这一行为会加剧投资者对股票估值的意见分歧，刺激投机性需求，放大股票中转售期权的价值，从而导致股价被高估。接着,本文证实价格时滞严重的股票具有较强的投机性特征，价格时滞对未来收益的预测性也主要源自股票的投机性特征。本文的研究表明，与美国市场不同,在中国股票市场，与投机性需求相关的市场摩擦对股票收益的影响要远大于与流动性、投资者认可度相关的市场摩擦。【中国人民大学书报资料中心复印报刊资料《投资与证券》2016年第5期全文转载】【国务院发展研究中心信息网股票市场栏目全文转载（2017/3/25）】