本文關鍵詞：中國股票市場內(nèi)幕交易實證研究　出處：《上海交通大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 內(nèi)幕交易 微觀結(jié)構(gòu) PIN模型 信息不對稱

【摘要】：近年來，盡管監(jiān)管部門對于內(nèi)幕交易案件嚴加打擊，我國股票市場的內(nèi)幕交易案件仍屢屢發(fā)生。內(nèi)幕交易嚴重影響證券市場秩序，損害投資者利益。本文以截止2012年6月由中國證監(jiān)會公告查處的31起內(nèi)幕交易案件為研究對象，研究我國內(nèi)幕交易案件的統(tǒng)計特征、股價行為、交易量特征和微觀結(jié)構(gòu)特征。本文的意義在于為監(jiān)管機構(gòu)設立內(nèi)幕交易監(jiān)測體系提供參考，為投資者規(guī)避高信息風險股票提供幫助。 本文首先從三大方面分析了我國內(nèi)幕交易案件的統(tǒng)計特征，總結(jié)了我國內(nèi)幕交易案件的最新發(fā)展趨勢，包括內(nèi)幕交易持續(xù)時間較短，通過親屬或他人賬戶的間接交易頻發(fā)，，兼并重組類信息誘發(fā)交易較多等。 然后分析了內(nèi)幕交易中的股價行為，發(fā)現(xiàn)當內(nèi)幕交易持續(xù)時間較長時，市場會對內(nèi)幕信息有所發(fā)現(xiàn)，從而助推股價的變化提前于重大信息公告日體現(xiàn)。相比兼并重組、增資、項目投資信息類股票，基于年報信息的內(nèi)幕交易對股價影響較小，內(nèi)幕交易期間超額收益并不明顯。分析內(nèi)幕交易期間的交易量特征，發(fā)現(xiàn)累積平均異常交易量在內(nèi)幕交易期并沒有明顯增大。 其次，從微觀結(jié)構(gòu)角度，分析了內(nèi)幕交易期間的買單數(shù)量，發(fā)現(xiàn)其顯著上升且波動性增大，說明買方市場活躍，存在信息泄露。基于事件研究方法，運用衡量信息不對稱的知情交易概率（PIN）模型檢驗我國內(nèi)幕交易案件，發(fā)現(xiàn)內(nèi)幕交易期的PIN值未在統(tǒng)計上顯著上升，PIN模型對于內(nèi)幕交易的甄別效果不佳，原因為部分案件內(nèi)幕交易時間過短，PIN模型無法識別。 本文最后運用移動PIN方法對內(nèi)幕交易進行檢驗，與傳統(tǒng)PIN模型只選取控制期和內(nèi)幕交易期兩個時間段所不同的是，此方法采用移動的時間段連續(xù)測度內(nèi)幕交易期內(nèi)PIN值變化，更敏銳地捕捉了短期交易對信息不對稱程度的影響。結(jié)果發(fā)現(xiàn)內(nèi)幕交易期移動PIN值呈現(xiàn)明顯峰值，公告日后移動PIN有所下調(diào)，說明內(nèi)幕交易期內(nèi)信息不對稱程度顯著上升，知情交易明顯增多。另外還發(fā)現(xiàn)，內(nèi)幕交易量越大的案件通常信息不對稱程度也越高。
[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.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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本文編號：1404444