中国股票市场内幕交易的超额收益及判别

发布时间：2018-05-16 06:33

本文选题：内幕交易 + 实证研究　；参考：《长沙理工大学》2014年硕士论文

【摘要】：近年来,国内外许多学者从各个方面对内幕交易进行了研究。这些研究主要集中于：证明中国股票市场内幕交易的普遍存在性；研究内幕交易对内幕交易主体以及其他股民的影响；研究内幕交易对信息效率以及市场流动性的影响；研究内幕交易的判别体系等。尽管各个方面都有研究,但研究都已经是几年前的内容。从1990年证券交易所成立以来,股票市场日新月异,截至2003年4月底证监会公布的内幕交易案件仅11起。然而从2012年开始截至2014年3月底证监会公布的内幕交易案件就达47起,内幕交易越演越烈,特征也在不断变化,从而对内幕交易的研究越发重要。本文首先通过近两年证监会公布的47支内幕交易股票来分析中国内幕交易市场的特征。然后选取证监会公布的涉及内幕交易的云内动力股票为例,用事件研究法以及PPD方法对其超额收益进行分析。再选取证监会没有公布的,但有人质疑可能存在内幕交易的东风股份进行分析,通过事件研究法以及换手率对其进行研究,在理论上证明其存在内幕交易的可能性。其次利用Logistic模型建立内幕交易的判别机制。本文从收益性、流动性、波动性出发建立以日均收益率、日均换手率、股价收益波动率三个指标为自变量的Logistic判别模型,模型整体判别率达到80%以上。此外利用该判别模型判别出东风股份以97.7%的概率存在内幕交易。最后基于该判别模型给相关部门提供内幕交易的监管办法。
[Abstract]:In recent years, many scholars at home and abroad have studied insider trading from various aspects. These studies mainly focus on: proving the prevalence of insider trading in China's stock market, studying the influence of insider trading on the subject of insider trading and other investors, studying the influence of insider trading on information efficiency and market liquidity; This paper studies the discriminant system of insider trading and so on. Although all aspects have been studied, but the research has been a few years ago. Since the establishment of the stock exchange in 1990, the stock market has changed rapidly. By the end of April 2003, the SFC had announced only 11 insider trading cases. However, since 2012, the SFC has reported 47 insider trading cases by the end of March 2014. Insider trading is becoming more and more intense and its characteristics are changing, so the research on insider trading is becoming more and more important. This paper first analyzes the characteristics of China's insider trading market through 47 insider trading stocks published by the CSRC in the past two years. Then we choose the cloud dynamic stock published by CSRC as an example to analyze its excess return with event study method and PPD method. Then select the Securities Regulatory Commission has not published, but some people doubt that there may be insider trading Dongfeng shares to analyze, through the incident research method and turnover rate to study, in theory to prove its existence of insider trading possibility. Secondly, the Logistic model is used to establish the discriminant mechanism of insider trading. In this paper, an Logistic discriminant model is established based on the three independent variables of profitability, liquidity and volatility. The overall discriminant rate of the model is over 80%, which is based on the three independent variables: the daily average rate of return, the daily average turnover rate and the volatility of stock price return. In addition, the discriminant model is used to identify the existence of insider trading in Dongfeng shares with a probability of 97.7%. Finally, based on the discriminant model, the relevant departments are provided with a regulatory approach to insider trading.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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