关键词: 交易量, 公共信息, 公司特有信息, 好消息, 坏消息

Abstract: In this article,we make detailed empirical research on the speed of adjustment to different kind of information among stocks with different level of trading volume.Firstly,we classify information into common information and firm-specific information and do empirical test separately.We find that stocks with high trading volume respond more rapidly to both common information and firm-specific information.But as to the latter one,the speed difference of adjustment is influenced by size of listed company.Secondly,we furthermore separate the common information into good news and bad news.We find that to both of them,the adjustment speed of high volume stocks is significantly higher than low volume stocks,which is different from that of the mature stock market abroad.

Key words: trading volume, common information,firm-specific information, good news, bad news