本文關(guān)鍵詞：內(nèi)幕交易的行為識別及防范機制研究　出處：《西南交通大學(xué)》2012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 指標選擇 實證識別 防范機制

【摘要】：內(nèi)幕交易是機構(gòu)或個人利用信息優(yōu)勢進行交易從而獲取非法利益的不道德行為。它屬于市場違規(guī)操作甚至是違法行為,從而受到各國的嚴格監(jiān)管,我國也不例外。但是由于我國甄別技術(shù)的相對落后及對內(nèi)幕交易的認識不完全,再加上內(nèi)幕交易本身的隱蔽性等特點,使得我國現(xiàn)有的內(nèi)幕交易監(jiān)管工作并不是很有效率。所以如何有效地加強監(jiān)管機制從而對內(nèi)幕交易行為予以防范也成為了今后我國證券市場發(fā)展中的重頭戲。而如何準確、有效地對內(nèi)幕交易行為進行識別則是建立監(jiān)管機制的第一要素。 本文在對國內(nèi)外文獻進行綜述的基礎(chǔ)上,首先對內(nèi)幕交易行為進行理論分析,對內(nèi)幕交易者的動機及其表現(xiàn)等環(huán)節(jié)進行分析和分類,從而試圖選取出適合實證研究部分的指標。本文將我國證券市場內(nèi)幕交易特征指標分為證券市場表現(xiàn)指標及公司內(nèi)部治理結(jié)構(gòu)指標并逐一進行描述,最后選取了日均收益率,日均換手率,Amivest流動性比率這三個證券市場表現(xiàn)指標和前十大股東持股比例這一公司治理結(jié)構(gòu)指標,并對以上這四個指標的計算方法進行初步調(diào)整。 在接下來的實證分析階段,本文以我國證券市場的股票為數(shù)據(jù)來源,收集了發(fā)生內(nèi)幕交易的股票(即黑色樣本)和沒有發(fā)生內(nèi)幕交易的股票(即白色樣本)共四十只。采用Logistic模型對內(nèi)幕操縱行為進行了識別。再將數(shù)據(jù)代入SPSS軟件并給出分析過程,本文還將對模型的結(jié)果作出詳實的分析。 最后,本文根據(jù)實證結(jié)果和我國證券市場的實際狀況,給出關(guān)于防范我國證券市場內(nèi)幕交易的機制建立和發(fā)展的建議。
[Abstract]:Insider trading is an immoral behavior that institutions or individuals make use of information advantages to trade and obtain illegal benefits. It belongs to the illegal operation of the market and even illegal behavior, so it is strictly regulated by various countries. China is no exception. However, due to the relatively backward screening technology and incomplete understanding of insider trading in our country, coupled with the hidden characteristics of insider trading itself. Therefore, how to effectively strengthen the supervision mechanism to prevent insider trading has become a major issue in the development of China's securities market in the future. How to be accurate. Effective identification of insider trading is the first element to establish a regulatory mechanism. Based on the review of domestic and foreign literature, this paper firstly makes a theoretical analysis of insider trading behavior, and analyzes and classifies the motivation and performance of insider traders. In this paper, the characteristics of insider trading in China's securities market are divided into performance indicators and corporate governance structure indicators and described one by one. At last, the paper selects the average daily yield, the daily turnover rate and the liquidity ratio of Amivest, which are the three performance indicators of the securities market and the top ten stockholders' shareholding ratio, which is the corporate governance structure index. And the calculation method of the above four indexes is preliminarily adjusted. In the next stage of empirical analysis, this paper takes the stock market of our country as the data source. Stocks with insider trading (i.e. black samples) and stocks without insider trading (i.e. white samples) were collected. A total of 40 individuals were used to identify the insider manipulation behavior by using Logistic model. Then the data was substituted into the SPSS software and the analysis process was given. The results of the model are also analyzed in detail. Finally, according to the empirical results and the actual situation of China's securities market, this paper gives some suggestions on the establishment and development of the mechanism to prevent insider trading in China's securities market.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1430157