Is it the most efficient to allow free transactions in financial markets? Most beginner level economics books include explanations why it is most effecient most of the time to allow free trade in the market of goods and services. (e.g. the theory of comparative advantage) However, few of them talks about similar things for financial markets (e.g. stock exchange, forex). The books will tell you how those financial instruments work, but they do not discuss whether it is the most efficient to allow free transactions in financial markets (just like the free trade in goods/services markets). Could anyone tell me if there are any theories on the topic?

What makes me curious is that, despite their huge role in our life, financial instruments are not classed as any factors of production, and seems to create no value economically. For example, fund managers are NOT enterpreneurs. 

So should the government intervene to prevent speculation, or should they not intervene? Is there any theory on this?
As a part of the overall financial system, such instruments can increase market efficiency and facilitate exchanges.  Since all such instruments are essentially backed by government monopoly rights (at the most basic, the monopoly held by governments to create money) they would fall under "land" in terms of the classical factors of production.  While it may seem strange to count financial instruments as a form of "land" it makes sense if you understand "land" to really mean "any factor of production associated with monopoly / exclusive use rights."  As a form of land, the returns to financial instruments are thus economic rent and the root cause of speculation.  So yes, they should be regulated / taxed.

Note, however, that it is not true that they "create no value economically" -- monopoly rights exist for a reason, often specifically to increase overall market efficiency.  It makes more sense for government to grant rights-of-way to utilities and such, to prevent redundant over-building of utility lines, etc.  But the value so created is being created by government, not the private entities that often claim the rent as their own.  Hence they should be taxed at (nearly) 100% so that the rents go back to the community, rather than free-loading rentiers.

There is plenty of theory on all of this, though it is considered heterodox today.  Henry George (and his peers) wrote about it at length around the turn of the 19th-20th century, and economists such as Mason Gaffney continue to publish current works in this area today.  The New Physiocrats are another contemporary group publishing ideas along the same lines.