Abstract: Trading aggressiveness is the reflection of the willingness of investors to trade, the set of information and the market condition，it directly reflects the attitude of investors. We divided the transaction in the market into twelve groups according to transaction price, the trading volume, the quote price and the declaration volume, and then we compare the trading aggressiveness of stocks with different sizes. Furthermore, we analyze the trading aggressiveness before and after macro news release, extreme price changes, and then we test the relationship between the trading aggressiveness and the return of next period. Based on these studies, we analyze the information content of trade aggressiveness.

摘要： 交易主动性是投资者交易意愿、掌握的信息集以及其对市场判断的集中体现，能够直接反映投资者的态度。本文根据交易价格和交易量与限价订单簿状态的相对关系将交易主动性分为12类，并对比了不同规模股票交易主动性的差异。进一步的，通过分析宏观信息发布和极端价格变化前后交易主动性的变动趋势分析交易主动性对于信息的敏感性，并利用交易主动性对下期收益的影响关系验证其信息价值，从而在其表征信息冲击的能力和对市场影响两个角度研究交易主动性能否代表信息。