本文關(guān)鍵詞：中國股市內(nèi)幕人員交易行為實(shí)證研究　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 內(nèi)幕交易 內(nèi)幕人員 收益預(yù)測 信息預(yù)測 投機(jī)型交易

【摘要】：上市公司的內(nèi)幕人員由于擁有優(yōu)先獲得內(nèi)幕信息的渠道,他們的交易行為也備受市場關(guān)注。然而,由于內(nèi)幕人員的交易行為有著混雜的交易動機(jī),對于監(jiān)管機(jī)構(gòu)而言,內(nèi)幕交易的界定十分困難；對于其他普通投資者而言,內(nèi)幕人員參與市場交易其本身作為一種公開的市場信息,它的有效性難以識別。 本文提出了一種簡明的思考方式,將內(nèi)幕人員的交易行為區(qū)分為容易預(yù)測到的“常規(guī)型”交易與難以發(fā)現(xiàn)規(guī)律的“投機(jī)型”交易,并對這種劃分方法的有效性進(jìn)行了檢驗(yàn)。本文以2000年1月至2012年12月間所有A股的內(nèi)幕人員交易數(shù)據(jù)為主要研究樣本,以每位內(nèi)幕人員的歷史交易記錄為依據(jù),將能找到在交易時間上的明顯規(guī)律的交易行為劃分為“常規(guī)型”交易,否則為“投機(jī)型”交易。建立收益預(yù)測模型進(jìn)行回歸,發(fā)現(xiàn)剔除掉對公司真實(shí)價值不包含有效信號的“常規(guī)型”交易事件后,剩下的“投機(jī)型”交易對于投資回報具有非常顯著的預(yù)測能力。此外,本文發(fā)現(xiàn),如果在交易信息及時披露的情況下,通過做多“投機(jī)型”增持組合同時做空“投機(jī)型”減持組合,平均每月可以贏取顯著的2.76%的超額回報。 本文進(jìn)一步探索“投機(jī)型”內(nèi)幕人員交易行為能夠?qū)τ诠善笔找鎿碛泻軓?qiáng)的預(yù)測能力的背后機(jī)制。通過信息預(yù)測模型的建立與檢驗(yàn),本文發(fā)現(xiàn)“投機(jī)型”交易行為對于上市公司的公告具有極強(qiáng)的預(yù)知能力,并得到結(jié)論：對利空消息敏感、對短期內(nèi)會造成大影響信息敏感是“投機(jī)型”交易的兩大特征。本文設(shè)想市場上的其他投資者是否會采取跟蹤模仿的策略,于是對機(jī)構(gòu)投資者的交易行為與內(nèi)幕人員的交易行為進(jìn)行了分析,卻發(fā)現(xiàn)兩者之間并無明顯關(guān)聯(lián)。 再次,本文通過內(nèi)幕人員的細(xì)分,發(fā)現(xiàn)內(nèi)部高管人員的交易行為擁有對未來收益和信息最強(qiáng)的預(yù)測能力和敏感度。 最后,本文對證監(jiān)會曾經(jīng)查處的內(nèi)幕交易事件與本文的研究內(nèi)容做了關(guān)聯(lián)性分析,發(fā)現(xiàn)監(jiān)管機(jī)構(gòu)發(fā)布的公開處罰內(nèi)幕交易的公告會提高市場上內(nèi)幕人員對于受監(jiān)管的風(fēng)險和潛在的處罰成本的認(rèn)識,從而短期內(nèi)減少“投機(jī)型”的交易行為。此外,按照本文的分類方法,發(fā)現(xiàn)樣本區(qū)間內(nèi)涉及到的因內(nèi)幕交易被處罰的內(nèi)幕人員均被劃分為“投機(jī)型”交易者,同時本文得到的關(guān)于“投機(jī)型”交易對于未來收益和信息的顯著預(yù)測能力也暗示了市場上有內(nèi)幕人員利用未公開的重大內(nèi)幕信息進(jìn)行內(nèi)幕交易的事實(shí)。
[Abstract]:The listed company insider due to have the priority to obtain the insider information trading channels, their behavior is also much market attention. However, because of insider trading behavior has a hybrid trading motive for regulators, the definition of insider trading is very difficult; for other ordinary investors, insider trading in the market itself as a market information disclosure, it is difficult to identify the effectiveness of it.
This paper presents a concise way of thinking about the insider trading behavior is divided into easy to predict "conventional" trading and difficult to find the law of speculative trading, and the validity of this classification method is verified. In this paper, the insider trading data from January 2000 to December 2012 of all A shares as the research sample, with each insider transaction history as the basis, divided transactions will be able to find obvious rules on the trading time of the "conventional" transactions, or "speculative" transactions. The establishment of earnings forecasts of the regression model, find out does not contain a valid signal to the real value of the company the "conventional" trade after the incident, the rest of the "speculative" transactions for the return on investment has the ability of forecasting is very significant. In addition, we found that if the transaction information and time In the case of disclosure, we can earn a significant 2.76% excess return on a monthly basis by doing more "vote" holdings and shorting the "drop in" reduction portfolio.
This paper further explore the mechanism behind the speculative "insider trading behavior for stock returns has very strong forecast ability. Through the establishment and test of the model forecast information, this paper finds that" speculative "trading behavior has a very strong ability to predict the listed company announcements, and get the conclusion: sensitive to bad news on. In the short term will cause big influence of sensitive information is" two characteristics of speculative trading. This assumption is whether other investors on the market will take the imitation tracking strategy, so the institutional investors trading behavior and insider trading behavior are analyzed, but found no clear association between.
Thirdly, through the subdivision of insider personnel, this paper finds that the trading behavior of internal executives has the strongest prediction ability and sensitivity to future earnings and information.
Finally, the research contents of this paper have investigated on the Commission insider trading this event and the correlation analysis, found that regulators issued the public punishment of insider trading announcement will improve market insider for understanding the regulatory risks and potential penalty costs, thereby reducing "short-term speculative transactions". In addition, according to this classification, found in the sample period related to the penalties for insider trading insider were classified as "speculative traders", at the same time get on "speculative" transactions to significantly predict the future profitability and information also suggests that the market has the major insider insider information undisclosed insider trading in fact.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

【共引文獻(xiàn)】

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本文編號：1386882