股票价格在内幕交易期的波动分析

发布时间：2018-03-04 15:35

本文选题：内幕交易　切入点：Logistic判别模型　出处：《吉林大学》2013年硕士论文　论文类型：学位论文

【摘要】：内幕交易的存在会严重影响证券市场有效的秩序，并对证券市场造成严重的危害，各国监管部门和学者都在不断地寻求有效杜绝内幕交易发生的办法和机制。同时，内幕交易现具有两种特性：普遍性和隐蔽性。这两种特性的存在是目前监管部门最难以逾越的屏障。当前，国内外关于内幕交易对股票价格影响的实证研究并不是很多，并且由于国外证券市场和我国证券市场在对投资者要求、企业上市要求和募集资金等方面都存在一定差异，所以本文主要选取了股票价格、换手率等数据为主要参考指标，借鉴国外对内幕交易的判别体系，参考国内学者研究成果，结合我国当今国情，对我国发生的内幕交易案例进行研究分析，结合数据研究结果提出些许相关建议。本篇论文以2012年年末中国证券监督管理委员会确定发生的重大内幕交易为样本案例（多数样本案例发生在2007年至2012年中），主要分析我国股票市场内幕交易的主要特征，基于以下四个方面进行分析：内幕交易的主体、内幕交易信息类型、我国内幕交易的主要处罚方式以及内幕交易的主要特性。另一方面，本文会从内幕交易对股票价格波动的影响、内幕交易对换手率的影响、内幕交易对股票收益率的影响以及如何判别内幕交易等几方面进行实证分析，研究发现内幕交易期间股票价格和换手率与非内幕交易期间相比有着明显增加。并且在研究内幕交易对股票收益率影响时发现从长期来看，信息公告使套期型交易增加，减少了信息不对称，并且其减少的程度要稍强于短期与中期的效果。进一步，我们综合考虑内幕交易和非内幕交易的正确判别率，利用Logistic模型给出了内幕交易判别系统。最后，根据本文的数据研究结果，基于我国目前证券市场存在的实际状况，提出我国当前就内幕交易监管方面所存在的诸多问题，并给出些许防范内幕交易的政策建议，以供参考。
[Abstract]:The existence of insider trading will seriously affect the effective order of the securities market and cause serious harm to the securities market. Regulators and scholars all over the world are constantly looking for ways and mechanisms to effectively stop insider trading. At the same time, At present, insider trading has two characteristics: universality and concealment. The existence of these two characteristics is the most difficult barrier for regulators at present. At present, there are not many empirical studies on the influence of insider trading on stock prices at home and abroad. And because there are some differences between the foreign securities market and China's securities market in the requirements of investors, listing requirements of enterprises and raising funds, so this paper mainly selects stock price, turnover rate and other data as the main reference indicators. Referring to the discriminant system of insider trading in foreign countries, referring to the research results of domestic scholars, combining the current situation of our country, the case of insider trading in China is studied and analyzed, and some relevant suggestions are put forward in combination with the results of data research. This paper takes the significant insider trading cases identified by the China Securities Regulatory Commission at the end of 2012 as a sample case (most of the sample cases occurred from 2007 to middle of 2012), and mainly analyzes the main characteristics of insider trading in China's stock market. Based on the analysis of the following four aspects: the subject of insider trading, the types of insider trading information, the main punishment methods of insider trading in China and the main characteristics of insider trading, on the other hand, This paper will analyze the influence of insider trading on stock price fluctuation, the influence of insider trading on turnover rate, the influence of insider trading on stock yield and how to judge insider trading. The study found that stock prices and turnover rates during insider trading increased significantly compared with those during non-insider trading. In the study of the influence of insider trading on stock returns, it was found that in the long run, information announcements increased hedging trading. The information asymmetry is reduced and the degree of reduction is slightly stronger than that in the short and medium term. Furthermore, considering the correct discriminant rate of insider trading and non-insider trading, we give a discriminant system of insider trading by using Logistic model. Finally, according to the research results of this paper, based on the actual situation of securities market in our country, this paper puts forward many problems existing in the supervision of insider trading in our country, and gives some policy suggestions on how to prevent insider trading. For reference.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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