中国股市内幕人员交易行为实证研究

发布时间：2018-01-06 07:28

本文关键词：中国股市内幕人员交易行为实证研究　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：上市公司的内幕人员由于拥有优先获得内幕信息的渠道,他们的交易行为也备受市场关注。然而,由于内幕人员的交易行为有着混杂的交易动机,对于监管机构而言,内幕交易的界定十分困难；对于其他普通投资者而言,内幕人员参与市场交易其本身作为一种公开的市场信息,它的有效性难以识别。本文提出了一种简明的思考方式,将内幕人员的交易行为区分为容易预测到的“常规型”交易与难以发现规律的“投机型”交易,并对这种划分方法的有效性进行了检验。本文以2000年1月至2012年12月间所有A股的内幕人员交易数据为主要研究样本,以每位内幕人员的历史交易记录为依据,将能找到在交易时间上的明显规律的交易行为划分为“常规型”交易,否则为“投机型”交易。建立收益预测模型进行回归,发现剔除掉对公司真实价值不包含有效信号的“常规型”交易事件后,剩下的“投机型”交易对于投资回报具有非常显著的预测能力。此外,本文发现,如果在交易信息及时披露的情况下,通过做多“投机型”增持组合同时做空“投机型”减持组合,平均每月可以赢取显著的2.76%的超额回报。本文进一步探索“投机型”内幕人员交易行为能够对于股票收益拥有很强的预测能力的背后机制。通过信息预测模型的建立与检验,本文发现“投机型”交易行为对于上市公司的公告具有极强的预知能力,并得到结论：对利空消息敏感、对短期内会造成大影响信息敏感是“投机型”交易的两大特征。本文设想市场上的其他投资者是否会采取跟踪模仿的策略,于是对机构投资者的交易行为与内幕人员的交易行为进行了分析,却发现两者之间并无明显关联。再次,本文通过内幕人员的细分,发现内部高管人员的交易行为拥有对未来收益和信息最强的预测能力和敏感度。最后,本文对证监会曾经查处的内幕交易事件与本文的研究内容做了关联性分析,发现监管机构发布的公开处罚内幕交易的公告会提高市场上内幕人员对于受监管的风险和潜在的处罚成本的认识,从而短期内减少“投机型”的交易行为。此外,按照本文的分类方法,发现样本区间内涉及到的因内幕交易被处罚的内幕人员均被划分为“投机型”交易者,同时本文得到的关于“投机型”交易对于未来收益和信息的显著预测能力也暗示了市场上有内幕人员利用未公开的重大内幕信息进行内幕交易的事实。
[Abstract]:The listed company insider due to have the priority to obtain the insider information trading channels, their behavior is also much market attention. However, because of insider trading behavior has a hybrid trading motive for regulators, the definition of insider trading is very difficult; for other ordinary investors, insider trading in the market itself as a market information disclosure, it is difficult to identify the effectiveness of it.
This paper presents a concise way of thinking about the insider trading behavior is divided into easy to predict "conventional" trading and difficult to find the law of speculative trading, and the validity of this classification method is verified. In this paper, the insider trading data from January 2000 to December 2012 of all A shares as the research sample, with each insider transaction history as the basis, divided transactions will be able to find obvious rules on the trading time of the "conventional" transactions, or "speculative" transactions. The establishment of earnings forecasts of the regression model, find out does not contain a valid signal to the real value of the company the "conventional" trade after the incident, the rest of the "speculative" transactions for the return on investment has the ability of forecasting is very significant. In addition, we found that if the transaction information and time In the case of disclosure, we can earn a significant 2.76% excess return on a monthly basis by doing more "vote" holdings and shorting the "drop in" reduction portfolio.
This paper further explore the mechanism behind the speculative "insider trading behavior for stock returns has very strong forecast ability. Through the establishment and test of the model forecast information, this paper finds that" speculative "trading behavior has a very strong ability to predict the listed company announcements, and get the conclusion: sensitive to bad news on. In the short term will cause big influence of sensitive information is" two characteristics of speculative trading. This assumption is whether other investors on the market will take the imitation tracking strategy, so the institutional investors trading behavior and insider trading behavior are analyzed, but found no clear association between.
Thirdly, through the subdivision of insider personnel, this paper finds that the trading behavior of internal executives has the strongest prediction ability and sensitivity to future earnings and information.
Finally, the research contents of this paper have investigated on the Commission insider trading this event and the correlation analysis, found that regulators issued the public punishment of insider trading announcement will improve market insider for understanding the regulatory risks and potential penalty costs, thereby reducing "short-term speculative transactions". In addition, according to this classification, found in the sample period related to the penalties for insider trading insider were classified as "speculative traders", at the same time get on "speculative" transactions to significantly predict the future profitability and information also suggests that the market has the major insider insider information undisclosed insider trading in fact.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【共引文献】