中国股票市场内幕交易实证研究

发布时间：2018-01-10 07:42

本文关键词：中国股票市场内幕交易实证研究　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：近年来，尽管监管部门对于内幕交易案件严加打击，我国股票市场的内幕交易案件仍屡屡发生。内幕交易严重影响证券市场秩序，损害投资者利益。本文以截止2012年6月由中国证监会公告查处的31起内幕交易案件为研究对象，研究我国内幕交易案件的统计特征、股价行为、交易量特征和微观结构特征。本文的意义在于为监管机构设立内幕交易监测体系提供参考，为投资者规避高信息风险股票提供帮助。本文首先从三大方面分析了我国内幕交易案件的统计特征，总结了我国内幕交易案件的最新发展趋势，包括内幕交易持续时间较短，通过亲属或他人账户的间接交易频发，，兼并重组类信息诱发交易较多等。然后分析了内幕交易中的股价行为，发现当内幕交易持续时间较长时，市场会对内幕信息有所发现，从而助推股价的变化提前于重大信息公告日体现。相比兼并重组、增资、项目投资信息类股票，基于年报信息的内幕交易对股价影响较小，内幕交易期间超额收益并不明显。分析内幕交易期间的交易量特征，发现累积平均异常交易量在内幕交易期并没有明显增大。其次，从微观结构角度，分析了内幕交易期间的买单数量，发现其显著上升且波动性增大，说明买方市场活跃，存在信息泄露。基于事件研究方法，运用衡量信息不对称的知情交易概率（PIN）模型检验我国内幕交易案件，发现内幕交易期的PIN值未在统计上显著上升，PIN模型对于内幕交易的甄别效果不佳，原因为部分案件内幕交易时间过短，PIN模型无法识别。本文最后运用移动PIN方法对内幕交易进行检验，与传统PIN模型只选取控制期和内幕交易期两个时间段所不同的是，此方法采用移动的时间段连续测度内幕交易期内PIN值变化，更敏锐地捕捉了短期交易对信息不对称程度的影响。结果发现内幕交易期移动PIN值呈现明显峰值，公告日后移动PIN有所下调，说明内幕交易期内信息不对称程度显著上升，知情交易明显增多。另外还发现，内幕交易量越大的案件通常信息不对称程度也越高。
[Abstract]:In recent years, despite the regulatory authorities to crack down on insider trading cases, insider trading cases in the stock market in China still occur frequently. Insider trading seriously affects the order of the securities market. This paper focuses on 31 insider trading cases that were investigated by CSRC in June 2012, and studies the statistical characteristics and stock price behavior of insider trading cases in China. The significance of this paper is to provide a reference for regulators to set up an insider trading monitoring system and to help investors avoid high information risk stocks. This paper first analyzes the statistical characteristics of insider trading cases in China from three aspects, summarizes the latest development trend of insider trading cases in China, including the short duration of insider trading cases. Through the frequent indirect transactions of relatives or other people's accounts, more transactions are induced by the information of merger and reorganization. Then the stock price behavior in insider trading is analyzed and it is found that when insider trading lasts for a long time the market will find out about insider information. Compared with merger and reorganization, capital increase, project investment information stock, insider trading based on annual report information has little effect on stock price. After analyzing the characteristics of the trading volume during insider trading, it is found that the cumulative average abnormal trading volume does not increase significantly during the insider trading period. Secondly, from the point of view of microstructure, this paper analyzes the amount of payment during insider trading, and finds that it has increased significantly and increased volatility, indicating that the buyer's market is active and there is information leakage. Using the probabilistic probability of informed trading model to test the insider trading cases in China, it is found that the PIN of insider trading period has not risen statistically. The discrimination effect of PIN model on insider trading is not good, because some cases have too short time to identify insider trading. In the end, we use mobile PIN method to test the insider trading, which is different from the traditional PIN model which only selects the control period and the insider trading period. This method uses the moving time period to measure the change of PIN value in the insider trading period. More keenly captured the short-term trading on the degree of information asymmetry. The results showed that the insider trading period mobile PIN value showed a significant peak, notice that the mobile PIN down after the announcement. It shows that the degree of information asymmetry in the period of insider trading is significantly increased, and the number of informed transactions is obviously increased. In addition, it is also found that the greater the insider trading volume is, the higher the degree of information asymmetry is usually.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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