【摘要】：內(nèi)幕交易是證券市場上基于信息不對稱的一種不道德行為,給投資者和市場帶來危害,并有損股票市場“公開、公平、公正”原則,被各國監(jiān)管機構(gòu)所禁止。盡管各國一直致力如何防止內(nèi)幕交易的發(fā)生,但內(nèi)幕交易案件仍屢禁不止,加之內(nèi)幕交易行為的復(fù)雜性,使得內(nèi)幕交易的監(jiān)管執(zhí)法難以有效實施,因此怎樣才能有效的控制內(nèi)幕交易的發(fā)生,一直是各國學(xué)者研究的重點。 針對這一難題,擬試著研究內(nèi)幕交易的甄別模型體系,通過內(nèi)幕交易發(fā)生概率的預(yù)測,對有可能發(fā)生內(nèi)幕交易的股票進行及時監(jiān)管和處罰。首先采用均值相等的T檢驗和非參數(shù)檢驗,篩選出各類指標變量,然后分別建立基于單一指標類的第一階段離散選擇模型。最后按照兩種思路建立第二階段多因素的Logistic和Probit甄別模型,以提高模型的甄別效率,為我國股票市場對內(nèi)幕交易的監(jiān)管提供一定的依據(jù)。 實證結(jié)果表明：基于離散選擇方法得到的甄別模型,各指標相同且符號相同,并與預(yù)期相同；甄別模型與監(jiān)管類指標、公司治理類指標、市場類指標聯(lián)系緊密,與財務(wù)指標關(guān)系不顯著,多因素甄別模型以股權(quán)集中度、日均異常收益率、跌停次數(shù)為自變量,模型的甄別效率達到90%；在甄別效率上,Logistic和Probit模型在各模型中的甄別效率基本上相同；第二階段的模型甄別效率明顯高于基于單一指標類的甄別模型；通過控制顯著性水平的變化,監(jiān)管機構(gòu)可以達到最優(yōu)監(jiān)管的目的,有利于監(jiān)管部門“相機抉擇”；監(jiān)管部門可以根據(jù)各股票內(nèi)幕交易發(fā)生的概率,對股票進行顏色預(yù)警。
[Abstract]:Insider trading is an immoral behavior based on asymmetric information in the securities market, which brings harm to investors and the market, and damages the principle of "openness, fairness and justice" in stock market, which is prohibited by the regulatory bodies of various countries. Despite the efforts of various countries to prevent insider trading from happening, insider trading cases are still repeatedly prohibited, and the complexity of insider trading behavior makes it difficult to effectively enforce the supervision and enforcement of insider trading. Therefore, how to effectively control the occurrence of insider trading has been the focus of scholars all over the world. In view of this problem, this paper tries to study the discrimination model system of insider trading, and through the prediction of the probability of insider trading, we can supervise and punish the stocks that may have insider trading in time. First, T-test and non-parametric test with equal mean value are used to screen out all kinds of index variables, and then the first-stage discrete selection model based on single index class is established respectively. Finally, the Logistic and probit discriminant models of the second stage are established according to the two ideas, in order to improve the screening efficiency of the model and to provide some basis for the supervision of insider trading in China's stock market. The empirical results show that the discriminant model based on discrete selection method has the same indicators, same symbols and the same as expected; the discriminant model is closely related to the regulatory index, corporate governance index, market index, and so on. The relationship with financial indicators is not significant, multi-factor screening model to equity concentration, abnormal rate of return per day, the number of times to fall as independent variables, the screening efficiency of the model reached 90. The discrimination efficiency of Logistic model and probit model is basically the same in each model, the second stage model is obviously higher than that based on a single indicator class, and by controlling the change of significance level, the discrimination efficiency of Logistic model and probit model in each model is basically the same, and the discrimination efficiency of the second stage model is obviously higher than that of the model based on single indicator class. Regulators can achieve the goal of optimal supervision, which is conducive to the "discretion" of regulators; regulators can give color warning to stocks based on the probability of insider trading in each stock.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F830.91;F224

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