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中文摘要：
利用上海市场的分笔交易数据考察中国市场上微观结构噪音的特征。结果发现，个股噪音的数量级为10—6，噪音大小与市场走势基本相反，且公司规模越小，噪音水平越高。进一步对噪音的定价能力进行研究，发现噪音对股票收益有很强的解释能力，噪音越大，收益对噪音的风险补偿越多，按照噪音大小构建资产组合可以获得超额收益。
英文摘要：
The characteristics of microstructure noise in Chinese stock market arc investigated by using tick-by-tick data of Shanghai stock market. It is found that noise of stocks, with the magnitude 10^-6, is basically opposite to the market trend and the smaller the company is, the higher the noise is. The study on pricing abiiity of noise indicates that noise has significant explanatory power for stock returns and the stocks with big noise get higher risk premium. Hence, excess returns can be obtained by constructing portfolio based on the size of noise.
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