基于修正PIN模型的中国股市内幕交易实证研究

发布时间：2018-03-05 21:43

本文选题：内幕交易　切入点：资本市场　出处：《浙江大学》2017年硕士论文　论文类型：学位论文

【摘要】：内幕交易这个话题一直都很热门,近年来问题也层出不穷。内幕交易行为破坏了金融市场和资本市场的秩序,严重影响了广大投资者的应有权益。中国证监会正在加大力度,力求打击内幕信息交易、关联方关联交易以及市场操纵等违法违规的行为。我国的资本市场还不够完善,法律法规等配套措施还跟不上金融创新的速度。各种内幕交易违规行为采用了种种高明的手段掩盖过去,证监会就如何监管,如何有效的监控这些违法违规行为,一直不停的在投入。近年来,大数据系统已经运用到了内幕交易监管上来。这些手段能够提供比传统手段更为有效的监管,可以挖掘出无法直接观察的内幕交易行为。但是这些措施还不够。研究内幕交易行为仍然有十分重要的意义。以往的理论研究往往注重定性方面,运用PIN模型(知情者交易概率模型)对内幕交易进行研究也是近年来才增加起来的,相关的理论还需要改进和完善。本文考察梳理了内幕交易研究的相关文献综述,发现PIN模型在研究我国的内幕交易案件的时候,还有所缺陷。因此笔者提出了修正PIN模型。本文选取了证监会截止到2015年6月30日为止的37个内幕交易案件样本数据。发现传统的PIN模型,内幕交易期间的PIN值虽然有所上升,但是在统计上不显著,传统的PIN模型对内幕交易的识别效果不佳。这可能是因为有些内幕案件的内幕交易时间过短,传统的PIN模型无法判断识别。本文提出采用修正PIN模型对内幕交易行为进行检验,与传统PIN模型相比,修正PIN模型采用连续变化的时间段来测量内幕交易期间内的PIN指标变化,采用此方法可以更有效的观察到短期内幕交易的信息不对称的程度。统计结果表明内幕交易期修正PIN值出现峰值,在公告日之后修正PIN指标有所下降,这解释了内幕交易期间显著上升的信息不对称程度。与传统的PIN模型相比,修正的PIN模型在统计上是显著的。通过传统PIN模型和修正PIN模型的对比,验证了修正PIN模型是更有效的,这也是本文对内幕交易研究提供了改进和补充。
[Abstract]:The subject of insider trading has been very popular in recent years, problems also emerge in an endless stream. Insider trading undermined the financial market and the capital market order, seriously affecting the rights and interests of investors. Chinese Commission is to increase efforts to combat insider trading information, related transactions and related party market manipulation and other illegal behavior. China's capital market is still not perfect, laws and regulations also keep up with the pace of financial innovation. All kinds of violations of insider trading using all kinds of clever means to cover up the past, the Commission on how to supervise the illegal behavior, how to effectively control these illegal, and kept pouring in. In recent years, big data system has applied to the insider trading regulation. These methods can provide more effective supervision than traditional means, you can dig out can not be directly observed within the Insider trading behavior. But these measures are not enough. The study of insider trading is still very important. Previous researches often focus on qualitative aspect, using the PIN model (insider trading probability model) research in recent years is also added up to insider trading, related theories need to be improved and perfected. This paper examines combing the relevant literature review on insider trading, found that when PIN model in our research on insider trading cases, there are defects. Therefore the author puts forward the modified PIN model. This paper selects the Commission by June 30, 2015 37 insider trading cases found the sample data. The traditional PIN model, insider trading period although the PIN value increased, but not statistically significant, recognition effect of the traditional PIN model of insider trading is poor. This may be because some insider case The insider trading time is too short, the traditional PIN model can not identify. In this paper, the modified PIN model to test the behavior of insider trading, compared with the traditional PIN model, PIN index time of the modified PIN model with continuous variation to measure the insider trading during the period of change, this method can be used more effectively to observe the information asymmetry of short-term insider trading level. The statistical results show that insider trading period correction value of PIN peak, the modified PIN index declined after the announcement date, which explains the degree of information asymmetry increased significantly during insider trading. Compared with the traditional PIN model, modified PIN model is significant in statistics by comparison. The traditional PIN model and modified PIN model, verify the modified PIN model is more effective, which is provided in this paper the improvement and supplement of insider trading.

【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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