我国股市内幕交易行为的识别方法与实证检验

发布时间：2018-11-06 09:54

【摘要】：内幕交易是我国股票市场常见的一种现象，我国作为新兴市场，内幕交易行为更是屡禁不止。内幕交易行为是证券市场的主要违法违规行为，严重扰乱了证券市场的正常秩序，阻碍证券市场基本功能的发挥。具体表现在：一是内幕交易行为使市场价格不能正确反应实际价值，降低了资产配置的效率，使证券市场丧失了资源配置的功能；二是内幕交易行为削弱了广大中小投资者的信心，使市场波动加大，极端情况下甚至有可能导致市场崩溃；三是损害了上市公司的声誉，加大了证券市场运行的风险。论文首先对国内外学者的观点进行汇总分析，并介绍本文所做的研究工作。其次对内幕消息、内幕人员和内幕交易行为这三个构成内幕交易的要件进行了界定，同时阐述了我国禁止内幕交易的相关法律法规。再次介绍了两个识别内幕交易的方法：基于神经网络模型的识别方法和基于事件研究法的统计识别方法。最后利用前面介绍的两个方法，选取样本分别进行实证，检测识别方法的有效性。本文的主要结论是：基于神经网络模型的识别方法和基于事件研究法的统计识别方法都能在一定程度上对内幕交易进行识别，，为证券监管部门进一步进行司法调查，打击内幕交易行为提供了有力的依据。
[Abstract]:Insider trading is a common phenomenon in China's stock market. Insider trading is the main illegal behavior in the securities market, which seriously disturbs the normal order of the securities market and hinders the exertion of the basic function of the securities market. The concrete performance is: first, the insider trading behavior causes the market price not to reflect the actual value correctly, reduces the efficiency of the asset allocation, causes the stock market to lose the function of the resources allocation; Second, the insider trading behavior weakens the confidence of the majority of small and medium-sized investors, increases the market fluctuation, and in extreme cases may even lead to the market collapse; third, it damages the reputation of the listed companies and increases the risk of the operation of the securities market. Firstly, this paper summarizes and analyzes the views of domestic and foreign scholars, and introduces the research work done in this paper. Secondly, it defines the three elements that constitute insider trading, such as insider information, insider personnel and insider trading. At the same time, it expounds the relevant laws and regulations that prohibit insider trading in our country. Then two methods to identify insider trading are introduced: one is based on neural network model and the other is statistical identification based on event research. Finally, the two methods are used to test the effectiveness of the identification method. The main conclusions of this paper are as follows: both the identification method based on neural network model and the statistical identification method based on event research can identify insider trading to a certain extent, and further conduct judicial investigation for securities supervision department. Cracking down on insider trading provides a strong basis.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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