我国证券市场内幕交易监管有效性及市场反应研究

发布时间：2018-05-05 21:18

本文选题：内幕交易 + 超额收益　；参考：《上海交通大学》2014年硕士论文

【摘要】：本文首先研究了内幕交易的监管有效性，以A股市场发生重大事项并且未被证监会处罚的上市公司为样本，对事件中的超额收益进行分析。研究发现，，相比于因内幕交易被证监会处罚的企业，未被处罚的企业在首次公告日前的超额收益波动率明显偏低。研究发现在2012年《司法解释》出台后，内幕交易的监管有效性大幅提升，对重大内幕交易行为起到了一定的震慑作用。其次，本文研究了内幕交易的影响因素，本文认为上市公司治理结构的缺陷、信息透明度较低、投资者之间的信息不对称以及法律制度环境不佳是影响内幕交易行为的主要因素。在第二部分，本文研究了内幕交易的市场反应。通过对1996年至2013年期间内被证监会处罚及被法院判决的内幕交易公司的事后期市场表现进行分析。研究发现，进行了内幕交易的上市公司相对于未进行内幕交易的上市公司，事后的股票超额收益并未明显偏低。。内幕交易并未给上市公司带来很严重的市场和经济后果。
[Abstract]:This paper first studies the effectiveness of the regulation of insider trading, taking the listed companies which have not been punished by the CSRC as the sample to analyze the excess returns in the A share market. The study found that the volatility of excess returns of unpunished enterprises was significantly lower than that of those punished by the CSRC for insider trading before the first announcement day. It is found that after the introduction of Judicial explanation in 2012, the effectiveness of insider trading has been greatly improved, which has a certain deterrent effect on the major insider trading behavior. Secondly, this paper studies the influencing factors of insider trading. Asymmetric information among investors and poor legal system are the main factors affecting insider trading. In the second part, this paper studies the market reaction of insider trading. This paper analyzes the late market performance of insider trading companies that were penalized by the CSRC and adjudicated by the court during the period from 1996 to 2013. The study found that the stock excess return of the listed company with insider trading was not significantly lower than that of the listed company without insider trading. Insider trading does not have serious market and economic consequences for listed companies.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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