本文選題：資金流向　切入點：重大事項　出處：《清華大學》2014年博士論文　論文類型：學位論文

【摘要】：本文使用2010~2012年的樣本，從資金流向這個新穎的角度研究中國股票市場上重大事項公告前的內幕交易。實證結果表明，屬于好消息的業(yè)績預告在公告前的資金流入大于屬于壞消息的業(yè)績預告在公告前的資金流入，分析師調高投資評級的股票在公告前后的資金流入大于分析師調低投資評級的股票在公告前后的資金流入，股東大額減持程度與股東大額減持前的資金流入呈負相關關系，并購重組成功前資金流入大于并購重組失敗前資金流入，分紅預案中分紅數(shù)量與分紅預案公告前機構買入量正相關，股權激勵比例與股權激勵成功前資金流入正相關。總體來說，，股票暴漲前資金流入大于股票暴跌前資金流入，股票暴漲前機構買入量大于股票暴跌前機構買入量，中國股票市場上重大事項公告前內幕交易明顯。若重大事項是好消息，那么內幕交易者會提前買入；若重大事項是壞消息，那么內幕交易者會提前賣出。內幕交易者通過利用重大事項提前買入和賣出獲取了超額收益。本文開拓了一個新的研究角度，研究結果有助于深化對中國股票市場上內幕交易手段的認識。
[Abstract]:Using samples from 2010 to 2012, this paper studies the insider trading before the announcement of major events in the Chinese stock market from the perspective of capital flow. The empirical results show that, The inflow of funds before the announcement is greater than that of the performance forecast for the bad news before the announcement. Before and after the announcement, the capital inflow of stocks with higher investment rating by analysts was greater than that of stocks with lower investment rating before and after the announcement, and the degree of large shareholder reduction was negatively correlated with the capital inflow before shareholders reduced their holdings. The inflow of funds before the success of M & A is greater than that before the failure of the merger and reorganization, and the amount of dividends in the dividend plan is positively related to the amount of institutional purchases before the announcement of the dividend plan. The proportion of equity incentives is positively related to the inflow of funds before the success of equity incentives. In general, capital inflows before the stock boom are greater than those before the stock crash, and the institutional purchases before the stock boom are greater than those before the stock crash. Insider trading is obvious before major events are announced on the Chinese stock market. If major events are good news, insider traders will buy ahead of time; if major events are bad news, Insider traders will sell ahead of time. Insider traders gain excess returns by using important items to buy and sell ahead of time. This paper opens up a new research perspective. The results are helpful to deepen the understanding of insider trading in Chinese stock market.
【學位授予單位】：清華大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F832.51;F275

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