我国证券市场内幕信息操纵的预警模型研究

发布时间：2018-03-12 22:10

本文选题：股票市场　切入点：市场操纵　出处：《南方金融》2017年09期 　论文类型：期刊论文

【摘要】：内幕信息操纵是证券市场主要违法违规行为,严重破坏了市场公平的投资秩序,一直是各国证券监管部门的重点打击对象之一。构建合理的预警模型,识别和防控证券市场内幕信息操纵行为,对于保护投资者的合法权益、保障证券市场持续健康发展具有重要意义。本文以1996-2015年被中国证监会及司法系统处罚的内幕信息操纵案例为研究样本,采用Logistic模型对内幕信息操纵预警方法进行研究。研究结果表明:一是以累计超额收益率、条件波动率、非流动性比率、股权集中度和股权制衡度为指标的预警模型具有较好的预警效果;二是累计超额收益率、条件波动率与内幕信息操纵发生的可能性正相关,非流动性比率、股权集中度、股权制衡度与内幕信息操纵发生的可能性负相关。为了防范证券市场内幕信息操纵行为的发生,建议监管部门重点监控以上预警指标的变动情况,及时识别内幕信息操纵行为;推动上市公司形成既相对集中、又相对制衡的股权结构和公司治理机制,引入外部审计等监督力量,约束控股股东和监管者行为,促进股票市场规范发展。
[Abstract]:Insider information manipulation is the main illegal and illegal behavior in the securities market, which seriously undermines the fair investment order of the market, and has always been one of the key targets of the securities regulatory authorities in various countries. The identification and control of manipulation of insider information in the securities market is of great importance to the protection of the legitimate rights and interests of investors, It is of great significance to ensure the sustainable and healthy development of the securities market. This paper takes the case of insider information manipulation which was punished by the China Securities Regulatory Commission and the judicial system from 1996 to 2015 as the research sample. The Logistic model is used to study the early warning method of insider information manipulation. The results show that one is based on cumulative excess return, conditional volatility and illiquidity ratio. The early warning model with the index of equity concentration and equity balance has good early warning effect. The second is cumulative excess return, conditional volatility is positively related to the possibility of insider information manipulation, illiquidity ratio, equity concentration, In order to prevent the insider information manipulation in the securities market, it is suggested that the regulatory authorities should focus on monitoring the changes of the above warning indicators and identify the insider information manipulation in time. To promote the listed companies to form a relatively centralized, relatively balanced equity structure and corporate governance mechanism, to introduce external audit and other supervisory forces, to restrain the behavior of controlling shareholders and regulators, and to promote the standardized development of the stock market.
【作者单位】：西南大学经济管理学院;
【基金】：国家社会科学基金项目《我国证券市场内幕信息操纵的形成与预警研究》(项目编号:13BJY174) 重庆市社会科学规划项目《中国股市内幕交易的形成机理与识别机制研究》(项目编号:2012YBJJ028)的资助
【分类号】：F832.51

【相似文献】