我国A股市场内部人交易公告效应研究
发布时间：2018-08-20 13:42
【摘要】：证券市场是一个信息密集型市场,证券价格会对相关信息作出快速及时反应。从公平公正公开的原则出发,所有的相关信息都应该充分准确及时披露。但是在现实中,信息不可能完全被充分准确及时披露,不同的投资者掌握的信息量不同,获得信息的时间不同,准确度也不尽相同。相对于外部投资者,公司内部人更可能及时准确的获取公司信息,他们可能利用本身具有信息优势进行交易以期获得超额收益。内部人交易往往被投资者解读为蕴含着公司价值变动的相关信息。 内部人交易公告到底对所交易的股票价格有没有影响呢?国外大量学者通过对英美资本市场进行的实证检验,以内部人交易的股票建立投资组合,发现投资组合在交易日后具有显著的超额收益特征。也有一些学者建立了包含交易成本的模型对内部人交易公告后的超额收益进行检测后没有发现显著的超额收益。最近有学者选取欧洲8个国家作为样本来研究内部人交易的公告效应,实证结果显示有4个国家的资本市场存在显著的内部人交易的公告效应,另外4个国家不存在显著的内部人交易的公告效应。 相比而言,国内学者更关注国内资本市场内幕交易的研究,而对于更普遍存在的内部人交易的研究较少。之所以存在这种现象,笔者认为有以下几点原因：一是国内股票市场自成立以来只有短短二十年的时间,虽然市场逐渐走向成熟,但是内幕交易的行为普遍存在,严重危害了普通投资者的利益,违反了资本市场的公平公正的原则,学者专家对内幕交易自然十分关注。二是对内部人交易和内幕交易概念的混淆。内部人交易是指掌握实质非公开信息情况下的证券交易行为,本文研究的“内部人交易”专指公司高管通过二级市场交易自己公司股票的行为。而内幕交易是指证券交易内幕信息知情人和非法获取内幕信息的人利用内幕信息从事证券交易的活动。公司内部人利用内幕消息进行证券交易的行为才属于内幕交易行为。如果公司内部人的证券交易不是基于内幕消息,那就是合法的,并且是广泛存在的现象。国内学者对内幕交易和内部人交易的研究更多偏重于理论的研究,关于内部人交易的公告效应的实证检验的研究很少。 本文主要目的是通过实证检验我国A股市场上是否存在显著的公告效应。文章的写作思路是通过回顾国内外对内部人交易公告效应的研究,从不同的角度提出我国A股市场内部人交易公告效应的假说,最后通过实证来检验提出的假说。本文的实证结果将解答投资者心中对于内部人交易是否存在超额收益的疑惑,可以为投资者提供一种投资思路,直接有助于投资者提升投资业绩和对内部人交易的认识理解,有助于提高市场效率。除此之外,文章对内部人交易的经济学分析,将有助于投资者对内部人交易理论的全面深入了解。 本文的内容主要包括以下几部分。第一部分是导论,这一部分介绍了研究背景意义、概念辨析、写作思路和写作内容、本文写作的创新和不足。第二部分是内部人交易的文献回顾,包括内部人交易的公告效应的研究、内部人交易与市场有效性和内部人交易与信息不对称的研究。第三部分是写内部人交易的经济学分析,包括委托代理理论和信息不对称理论的介绍、我国内部人控制问题、内部人与公司信息披露和内部人交易对企业价值的影响。第四部分是根据以往的研究提出待验证的假说。第五部分是数据来源与研究方法。第六部分是实证分析结果。第七部分是文章结论。 本文通过回顾以往对内部人交易公告效应的研究,提出了四个待验证假说。 1、内部人购买(卖出)公告在短期窗口下会导致相关股票正(负)的超额收益。内部人购买的公告效应要比内部人卖出的公告效应显著。 2、内部人通过大宗交易平台进行交易将导致显著的公告效应。 3、相对于大企业而言,小企业内部人购买(卖出)公告将导致更大的正(负)超额收益。 4、内部人大额购买(卖出)的公告会比小额购买(卖出)导致更大的正(负)的超额收益。 实证检验结果证实了一些假说,但也同时有些实证结果与假说有显著差异,并且实证检验结果要比提出的假说复杂的多。 1、内部人购买(增持)在公告日和公告日后的时间窗口(t+1,t+10)累积超额收益明显,存在显著的公告效应。实证检验结果显示内部人卖出(减持)在公告日和公告日后的时间窗口的累积超额收益不明显,不存在显著的公告效应。在公告日前,内部人交易都表现出显著的超额收益特征,并且内部人卖出(减持)公告日前的累积超额收益更明显。 2、内部人通过大宗交易平台进行的购买(增持)行为的样本数量太小,结论信服力不强。内部人通过大宗平台进行卖出(减持)的实证检验结果显在公告日及公告日后的时间窗口没有发现显著的公告效应。内部人卖出(减持)公告日前的几个交易日表现出异常的超额收益特征。 3、在公告日及公告日后的短时间窗口(t+l,t+3),大市值公司事件组的内部人购买(增持)的公告效应最显著。在公告日后的较长时间窗口,中等规模流通市值事件组的内部人购买(增持)公告效应最显著。在公告日前,后30%流通市值事件组内部人购买(增持)累积超额收益率最高,其次是中间40%流通市值事件组,最小的是前30%流通市值和事件组。 不同的公司按照流通市值分组后,内部人卖出(减持)的公告日及公告日后的累积超额收益率不显著。 4、内部人购买(增持)公告日及公告日后的短窗口期(t+1,t+3)内,中等规模交易事件组的公告效应最显著；在公告日后的较长时间窗口(t+1,t+10)最小交易规模事件组的公告效应最显著；在公告日前,中等交易规模的事件组存在最显著的累积超额收益特征。 交易金额与流通市值占比前30%事件组在内部人卖出(减持)公告日后的较长时间窗口(t+1,t+10)检测到显著的累积超额收益,而其他事件组没有检测到显著的累积超额收益率。在公告日前,不同的事件组都在1‰的显著性水平下检测到累积超额收益率。其中交易金额与流通市值占比前30%的事件组的累积超额收益率比其他两个事件组的数值要小。
[Abstract]:Securities market is an information-intensive market, the price of securities will respond to relevant information quickly and promptly. From the principle of fairness, fairness and openness, all relevant information should be fully and accurately disclosed. Compared with external investors, insiders are more likely to obtain information timely and accurately. They may use their own information advantages to conduct transactions in order to obtain excess returns. Insider trading is often interpreted by investors as the correlation of changes in corporate value. Information.
Does insider trading announcement affect the stock price? A large number of foreign scholars have established portfolios with insider-traded stocks through empirical tests in British and American capital markets, and found that the portfolio has significant excess return characteristics after trading. Some scholars have established a portfolio containing transaction costs. Recently, eight European countries were selected as samples to study the announcement effect of insider trading. The empirical results show that there are significant announcement effects of insider trading in four countries'capital markets and four other countries' capital markets. There is no significant announcement effect of insider trading.
Comparatively speaking, domestic scholars pay more attention to the study of insider trading in domestic capital market, but less to the study of insider trading which is more prevalent. However, insider trading is widespread, which seriously endangers the interests of ordinary investors and violates the principle of equity and justice in the capital market. Scholars and experts are naturally very concerned about insider trading. Insider trading refers to the activities of insider information insiders and those who illegally obtain insider information in securities trading. Insiders use insider information to conduct securities trading. If insider trading is not based on insider information, it is legal and widespread. Domestic scholars pay more attention to the theory of insider trading and insider trading, and there are few empirical studies on the announcement effect of insider trading.
The main purpose of this paper is to test whether there is a significant announcement effect in China's A-share market through empirical research. The empirical results of this paper will answer the investors'doubts about whether there is excess return in insider trading, and provide investors with an investment idea, which will help investors to improve their investment performance and understanding of insider trading, and help to improve market efficiency. The analysis will help investors to have a thorough and in-depth understanding of insider trading theory.
The first part is the introduction, which introduces the research background, conceptual analysis, writing ideas and content, the innovation and shortcomings of this paper. The second part is the literature review of insider trading, including the announcement effect of insider trading, insider trading and market efficiency. The third part is the economic analysis of insider trading, including the introduction of principal-agent theory and information asymmetry theory, the problem of insider control in China, the influence of insider and company information disclosure and insider trading on enterprise value. The fifth part is data sources and research methods. The sixth part is empirical analysis results. The seventh part is the conclusion of the article.
By reviewing the previous studies on insider trading announcement effect, this paper puts forward four hypotheses to be verified.
1. The announcement of insider buying (selling) will lead to positive (negative) excess returns of related stocks in the short-term window. The announcement effect of insider buying is more significant than that of insider selling.
2, insider trading through block trading platform will result in significant announcement effect.
3. Compared with large enterprises, insider buying (selling) announcements in small enterprises will lead to greater positive (negative) excess returns.
4. The announcement that insiders buy (sell) in large quantities will result in greater positive (negative) excess returns than the announcement that insiders buy (sell) in small quantities.
The empirical test results confirm some hypotheses, but at the same time, some empirical results are significantly different from the hypothesis, and the empirical test results are more complex than the hypothesis.
1. The cumulative excess earnings of insider buying (hedging) on the announcement day and the time window after the announcement day (t + 1, T + 10) are obvious, and there is a significant announcement effect. The empirical test results show that the cumulative excess earnings of insider selling (reduction) on the announcement day and the time window after the announcement day are not obvious, and there is no significant announcement effect. Insider trading shows significant excess returns, and the accumulated excess returns before insider selling (reduction) announcement is more obvious.
2. The sample size of insider's buying behavior through bulk trading platform is too small, and the conclusion is not convincing. The empirical test results of insider's selling behavior through bulk trading platform show that there is no significant announcement effect at the time window after the announcement date and the announcement date. Several samples before the announcement date of insider's selling (reduction) are found. Trading day shows abnormal abnormal return characteristics.
3. In the short window (t+l, t+3) after the announcement day and the announcement day, the announcement effect of insider purchase (overweight) in the event group of large market value companies is the most significant. The cumulative excess rate of return is the highest, followed by the intermediate 40% circulation market value event group, and the smallest is the first 30% circulation market value and event group.
After different companies are grouped according to their current market value, the cumulative excess return rate after the announcement date and the announcement date of insider selling (reduction) is not significant.
4. In the short window period (t + 1, T + 3) after the announcement date and the announcement date, the announcement effect of the medium-sized transaction event group is the most significant; the announcement effect of the minimum transaction size event group in the long window (t + 1, T + 10) after the announcement date is the most significant; before the announcement date, the event group of the medium-sized transaction exists the most significant tiredness. Product excess return characteristics.
In the long time window (t + 1, T + 10) after the insider selling (reduction) announcement, significant cumulative excess returns were detected in the event group with the first 30% of transaction amount and circulation market value, while no significant cumulative excess returns were detected in the other event groups. The cumulative excess rate of return of the event group with the transaction amount and the top 30% of the market value is smaller than that of the other two event groups.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
[Abstract]:Securities market is an information-intensive market, the price of securities will respond to relevant information quickly and promptly. From the principle of fairness, fairness and openness, all relevant information should be fully and accurately disclosed. Compared with external investors, insiders are more likely to obtain information timely and accurately. They may use their own information advantages to conduct transactions in order to obtain excess returns. Insider trading is often interpreted by investors as the correlation of changes in corporate value. Information.
Does insider trading announcement affect the stock price? A large number of foreign scholars have established portfolios with insider-traded stocks through empirical tests in British and American capital markets, and found that the portfolio has significant excess return characteristics after trading. Some scholars have established a portfolio containing transaction costs. Recently, eight European countries were selected as samples to study the announcement effect of insider trading. The empirical results show that there are significant announcement effects of insider trading in four countries'capital markets and four other countries' capital markets. There is no significant announcement effect of insider trading.
Comparatively speaking, domestic scholars pay more attention to the study of insider trading in domestic capital market, but less to the study of insider trading which is more prevalent. However, insider trading is widespread, which seriously endangers the interests of ordinary investors and violates the principle of equity and justice in the capital market. Scholars and experts are naturally very concerned about insider trading. Insider trading refers to the activities of insider information insiders and those who illegally obtain insider information in securities trading. Insiders use insider information to conduct securities trading. If insider trading is not based on insider information, it is legal and widespread. Domestic scholars pay more attention to the theory of insider trading and insider trading, and there are few empirical studies on the announcement effect of insider trading.
The main purpose of this paper is to test whether there is a significant announcement effect in China's A-share market through empirical research. The empirical results of this paper will answer the investors'doubts about whether there is excess return in insider trading, and provide investors with an investment idea, which will help investors to improve their investment performance and understanding of insider trading, and help to improve market efficiency. The analysis will help investors to have a thorough and in-depth understanding of insider trading theory.
The first part is the introduction, which introduces the research background, conceptual analysis, writing ideas and content, the innovation and shortcomings of this paper. The second part is the literature review of insider trading, including the announcement effect of insider trading, insider trading and market efficiency. The third part is the economic analysis of insider trading, including the introduction of principal-agent theory and information asymmetry theory, the problem of insider control in China, the influence of insider and company information disclosure and insider trading on enterprise value. The fifth part is data sources and research methods. The sixth part is empirical analysis results. The seventh part is the conclusion of the article.
By reviewing the previous studies on insider trading announcement effect, this paper puts forward four hypotheses to be verified.
1. The announcement of insider buying (selling) will lead to positive (negative) excess returns of related stocks in the short-term window. The announcement effect of insider buying is more significant than that of insider selling.
2, insider trading through block trading platform will result in significant announcement effect.
3. Compared with large enterprises, insider buying (selling) announcements in small enterprises will lead to greater positive (negative) excess returns.
4. The announcement that insiders buy (sell) in large quantities will result in greater positive (negative) excess returns than the announcement that insiders buy (sell) in small quantities.
The empirical test results confirm some hypotheses, but at the same time, some empirical results are significantly different from the hypothesis, and the empirical test results are more complex than the hypothesis.
1. The cumulative excess earnings of insider buying (hedging) on the announcement day and the time window after the announcement day (t + 1, T + 10) are obvious, and there is a significant announcement effect. The empirical test results show that the cumulative excess earnings of insider selling (reduction) on the announcement day and the time window after the announcement day are not obvious, and there is no significant announcement effect. Insider trading shows significant excess returns, and the accumulated excess returns before insider selling (reduction) announcement is more obvious.
2. The sample size of insider's buying behavior through bulk trading platform is too small, and the conclusion is not convincing. The empirical test results of insider's selling behavior through bulk trading platform show that there is no significant announcement effect at the time window after the announcement date and the announcement date. Several samples before the announcement date of insider's selling (reduction) are found. Trading day shows abnormal abnormal return characteristics.
3. In the short window (t+l, t+3) after the announcement day and the announcement day, the announcement effect of insider purchase (overweight) in the event group of large market value companies is the most significant. The cumulative excess rate of return is the highest, followed by the intermediate 40% circulation market value event group, and the smallest is the first 30% circulation market value and event group.
After different companies are grouped according to their current market value, the cumulative excess return rate after the announcement date and the announcement date of insider selling (reduction) is not significant.
4. In the short window period (t + 1, T + 3) after the announcement date and the announcement date, the announcement effect of the medium-sized transaction event group is the most significant; the announcement effect of the minimum transaction size event group in the long window (t + 1, T + 10) after the announcement date is the most significant; before the announcement date, the event group of the medium-sized transaction exists the most significant tiredness. Product excess return characteristics.
In the long time window (t + 1, T + 10) after the insider selling (reduction) announcement, significant cumulative excess returns were detected in the event group with the first 30% of transaction amount and circulation market value, while no significant cumulative excess returns were detected in the other event groups. The cumulative excess rate of return of the event group with the transaction amount and the top 30% of the market value is smaller than that of the other two event groups.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
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