【摘要】：證券市場(chǎng)是一個(gè)信息密集型市場(chǎng),證券價(jià)格會(huì)對(duì)相關(guān)信息作出快速及時(shí)反應(yīng)。從公平公正公開(kāi)的原則出發(fā),所有的相關(guān)信息都應(yīng)該充分準(zhǔn)確及時(shí)披露。但是在現(xiàn)實(shí)中,信息不可能完全被充分準(zhǔn)確及時(shí)披露,不同的投資者掌握的信息量不同,獲得信息的時(shí)間不同,準(zhǔn)確度也不盡相同。相對(duì)于外部投資者,公司內(nèi)部人更可能及時(shí)準(zhǔn)確的獲取公司信息,他們可能利用本身具有信息優(yōu)勢(shì)進(jìn)行交易以期獲得超額收益。內(nèi)部人交易往往被投資者解讀為蘊(yùn)含著公司價(jià)值變動(dòng)的相關(guān)信息。 內(nèi)部人交易公告到底對(duì)所交易的股票價(jià)格有沒(méi)有影響呢?國(guó)外大量學(xué)者通過(guò)對(duì)英美資本市場(chǎng)進(jìn)行的實(shí)證檢驗(yàn),以?xún)?nèi)部人交易的股票建立投資組合,發(fā)現(xiàn)投資組合在交易日后具有顯著的超額收益特征。也有一些學(xué)者建立了包含交易成本的模型對(duì)內(nèi)部人交易公告后的超額收益進(jìn)行檢測(cè)后沒(méi)有發(fā)現(xiàn)顯著的超額收益。最近有學(xué)者選取歐洲8個(gè)國(guó)家作為樣本來(lái)研究?jī)?nèi)部人交易的公告效應(yīng),實(shí)證結(jié)果顯示有4個(gè)國(guó)家的資本市場(chǎng)存在顯著的內(nèi)部人交易的公告效應(yīng),另外4個(gè)國(guó)家不存在顯著的內(nèi)部人交易的公告效應(yīng)。 相比而言,國(guó)內(nèi)學(xué)者更關(guān)注國(guó)內(nèi)資本市場(chǎng)內(nèi)幕交易的研究,而對(duì)于更普遍存在的內(nèi)部人交易的研究較少。之所以存在這種現(xiàn)象,筆者認(rèn)為有以下幾點(diǎn)原因：一是國(guó)內(nèi)股票市場(chǎng)自成立以來(lái)只有短短二十年的時(shí)間,雖然市場(chǎng)逐漸走向成熟,但是內(nèi)幕交易的行為普遍存在,嚴(yán)重危害了普通投資者的利益,違反了資本市場(chǎng)的公平公正的原則,學(xué)者專(zhuān)家對(duì)內(nèi)幕交易自然十分關(guān)注。二是對(duì)內(nèi)部人交易和內(nèi)幕交易概念的混淆。內(nèi)部人交易是指掌握實(shí)質(zhì)非公開(kāi)信息情況下的證券交易行為,本文研究的“內(nèi)部人交易”專(zhuān)指公司高管通過(guò)二級(jí)市場(chǎng)交易自己公司股票的行為。而內(nèi)幕交易是指證券交易內(nèi)幕信息知情人和非法獲取內(nèi)幕信息的人利用內(nèi)幕信息從事證券交易的活動(dòng)。公司內(nèi)部人利用內(nèi)幕消息進(jìn)行證券交易的行為才屬于內(nèi)幕交易行為。如果公司內(nèi)部人的證券交易不是基于內(nèi)幕消息,那就是合法的,并且是廣泛存在的現(xiàn)象。國(guó)內(nèi)學(xué)者對(duì)內(nèi)幕交易和內(nèi)部人交易的研究更多偏重于理論的研究,關(guān)于內(nèi)部人交易的公告效應(yīng)的實(shí)證檢驗(yàn)的研究很少。 本文主要目的是通過(guò)實(shí)證檢驗(yàn)我國(guó)A股市場(chǎng)上是否存在顯著的公告效應(yīng)。文章的寫(xiě)作思路是通過(guò)回顧國(guó)內(nèi)外對(duì)內(nèi)部人交易公告效應(yīng)的研究,從不同的角度提出我國(guó)A股市場(chǎng)內(nèi)部人交易公告效應(yīng)的假說(shuō),最后通過(guò)實(shí)證來(lái)檢驗(yàn)提出的假說(shuō)。本文的實(shí)證結(jié)果將解答投資者心中對(duì)于內(nèi)部人交易是否存在超額收益的疑惑,可以為投資者提供一種投資思路,直接有助于投資者提升投資業(yè)績(jī)和對(duì)內(nèi)部人交易的認(rèn)識(shí)理解,有助于提高市場(chǎng)效率。除此之外,文章對(duì)內(nèi)部人交易的經(jīng)濟(jì)學(xué)分析,將有助于投資者對(duì)內(nèi)部人交易理論的全面深入了解。 本文的內(nèi)容主要包括以下幾部分。第一部分是導(dǎo)論,這一部分介紹了研究背景意義、概念辨析、寫(xiě)作思路和寫(xiě)作內(nèi)容、本文寫(xiě)作的創(chuàng)新和不足。第二部分是內(nèi)部人交易的文獻(xiàn)回顧,包括內(nèi)部人交易的公告效應(yīng)的研究、內(nèi)部人交易與市場(chǎng)有效性和內(nèi)部人交易與信息不對(duì)稱(chēng)的研究。第三部分是寫(xiě)內(nèi)部人交易的經(jīng)濟(jì)學(xué)分析,包括委托代理理論和信息不對(duì)稱(chēng)理論的介紹、我國(guó)內(nèi)部人控制問(wèn)題、內(nèi)部人與公司信息披露和內(nèi)部人交易對(duì)企業(yè)價(jià)值的影響。第四部分是根據(jù)以往的研究提出待驗(yàn)證的假說(shuō)。第五部分是數(shù)據(jù)來(lái)源與研究方法。第六部分是實(shí)證分析結(jié)果。第七部分是文章結(jié)論。 本文通過(guò)回顧以往對(duì)內(nèi)部人交易公告效應(yīng)的研究,提出了四個(gè)待驗(yàn)證假說(shuō)。 1、內(nèi)部人購(gòu)買(mǎi)(賣(mài)出)公告在短期窗口下會(huì)導(dǎo)致相關(guān)股票正(負(fù))的超額收益。內(nèi)部人購(gòu)買(mǎi)的公告效應(yīng)要比內(nèi)部人賣(mài)出的公告效應(yīng)顯著。 2、內(nèi)部人通過(guò)大宗交易平臺(tái)進(jìn)行交易將導(dǎo)致顯著的公告效應(yīng)。 3、相對(duì)于大企業(yè)而言,小企業(yè)內(nèi)部人購(gòu)買(mǎi)(賣(mài)出)公告將導(dǎo)致更大的正(負(fù))超額收益。 4、內(nèi)部人大額購(gòu)買(mǎi)(賣(mài)出)的公告會(huì)比小額購(gòu)買(mǎi)(賣(mài)出)導(dǎo)致更大的正(負(fù))的超額收益。 實(shí)證檢驗(yàn)結(jié)果證實(shí)了一些假說(shuō),但也同時(shí)有些實(shí)證結(jié)果與假說(shuō)有顯著差異,并且實(shí)證檢驗(yàn)結(jié)果要比提出的假說(shuō)復(fù)雜的多。 1、內(nèi)部人購(gòu)買(mǎi)(增持)在公告日和公告日后的時(shí)間窗口(t+1,t+10)累積超額收益明顯,存在顯著的公告效應(yīng)。實(shí)證檢驗(yàn)結(jié)果顯示內(nèi)部人賣(mài)出(減持)在公告日和公告日后的時(shí)間窗口的累積超額收益不明顯,不存在顯著的公告效應(yīng)。在公告日前,內(nèi)部人交易都表現(xiàn)出顯著的超額收益特征,并且內(nèi)部人賣(mài)出(減持)公告日前的累積超額收益更明顯。 2、內(nèi)部人通過(guò)大宗交易平臺(tái)進(jìn)行的購(gòu)買(mǎi)(增持)行為的樣本數(shù)量太小,結(jié)論信服力不強(qiáng)。內(nèi)部人通過(guò)大宗平臺(tái)進(jìn)行賣(mài)出(減持)的實(shí)證檢驗(yàn)結(jié)果顯在公告日及公告日后的時(shí)間窗口沒(méi)有發(fā)現(xiàn)顯著的公告效應(yīng)。內(nèi)部人賣(mài)出(減持)公告日前的幾個(gè)交易日表現(xiàn)出異常的超額收益特征。 3、在公告日及公告日后的短時(shí)間窗口(t+l,t+3),大市值公司事件組的內(nèi)部人購(gòu)買(mǎi)(增持)的公告效應(yīng)最顯著。在公告日后的較長(zhǎng)時(shí)間窗口,中等規(guī)模流通市值事件組的內(nèi)部人購(gòu)買(mǎi)(增持)公告效應(yīng)最顯著。在公告日前,后30%流通市值事件組內(nèi)部人購(gòu)買(mǎi)(增持)累積超額收益率最高,其次是中間40%流通市值事件組,最小的是前30%流通市值和事件組。 不同的公司按照流通市值分組后,內(nèi)部人賣(mài)出(減持)的公告日及公告日后的累積超額收益率不顯著。 4、內(nèi)部人購(gòu)買(mǎi)(增持)公告日及公告日后的短窗口期(t+1,t+3)內(nèi),中等規(guī)模交易事件組的公告效應(yīng)最顯著；在公告日后的較長(zhǎng)時(shí)間窗口(t+1,t+10)最小交易規(guī)模事件組的公告效應(yīng)最顯著；在公告日前,中等交易規(guī)模的事件組存在最顯著的累積超額收益特征。 交易金額與流通市值占比前30%事件組在內(nèi)部人賣(mài)出(減持)公告日后的較長(zhǎng)時(shí)間窗口(t+1,t+10)檢測(cè)到顯著的累積超額收益,而其他事件組沒(méi)有檢測(cè)到顯著的累積超額收益率。在公告日前,不同的事件組都在1‰的顯著性水平下檢測(cè)到累積超額收益率。其中交易金額與流通市值占比前30%的事件組的累積超額收益率比其他兩個(gè)事件組的數(shù)值要小。
[Abstract]:Securities market is an information-intensive market, the price of securities will respond to relevant information quickly and promptly. From the principle of fairness, fairness and openness, all relevant information should be fully and accurately disclosed. Compared with external investors, insiders are more likely to obtain information timely and accurately. They may use their own information advantages to conduct transactions in order to obtain excess returns. Insider trading is often interpreted by investors as the correlation of changes in corporate value. Information.
Does insider trading announcement affect the stock price? A large number of foreign scholars have established portfolios with insider-traded stocks through empirical tests in British and American capital markets, and found that the portfolio has significant excess return characteristics after trading. Some scholars have established a portfolio containing transaction costs. Recently, eight European countries were selected as samples to study the announcement effect of insider trading. The empirical results show that there are significant announcement effects of insider trading in four countries'capital markets and four other countries' capital markets. There is no significant announcement effect of insider trading.
Comparatively speaking, domestic scholars pay more attention to the study of insider trading in domestic capital market, but less to the study of insider trading which is more prevalent. However, insider trading is widespread, which seriously endangers the interests of ordinary investors and violates the principle of equity and justice in the capital market. Scholars and experts are naturally very concerned about insider trading. Insider trading refers to the activities of insider information insiders and those who illegally obtain insider information in securities trading. Insiders use insider information to conduct securities trading. If insider trading is not based on insider information, it is legal and widespread. Domestic scholars pay more attention to the theory of insider trading and insider trading, and there are few empirical studies on the announcement effect of insider trading.
The main purpose of this paper is to test whether there is a significant announcement effect in China's A-share market through empirical research. The empirical results of this paper will answer the investors'doubts about whether there is excess return in insider trading, and provide investors with an investment idea, which will help investors to improve their investment performance and understanding of insider trading, and help to improve market efficiency. The analysis will help investors to have a thorough and in-depth understanding of insider trading theory.
The first part is the introduction, which introduces the research background, conceptual analysis, writing ideas and content, the innovation and shortcomings of this paper. The second part is the literature review of insider trading, including the announcement effect of insider trading, insider trading and market efficiency. The third part is the economic analysis of insider trading, including the introduction of principal-agent theory and information asymmetry theory, the problem of insider control in China, the influence of insider and company information disclosure and insider trading on enterprise value. The fifth part is data sources and research methods. The sixth part is empirical analysis results. The seventh part is the conclusion of the article.
By reviewing the previous studies on insider trading announcement effect, this paper puts forward four hypotheses to be verified.
1. The announcement of insider buying (selling) will lead to positive (negative) excess returns of related stocks in the short-term window. The announcement effect of insider buying is more significant than that of insider selling.
2, insider trading through block trading platform will result in significant announcement effect.
3. Compared with large enterprises, insider buying (selling) announcements in small enterprises will lead to greater positive (negative) excess returns.
4. The announcement that insiders buy (sell) in large quantities will result in greater positive (negative) excess returns than the announcement that insiders buy (sell) in small quantities.
The empirical test results confirm some hypotheses, but at the same time, some empirical results are significantly different from the hypothesis, and the empirical test results are more complex than the hypothesis.
1. The cumulative excess earnings of insider buying (hedging) on the announcement day and the time window after the announcement day (t + 1, T + 10) are obvious, and there is a significant announcement effect. The empirical test results show that the cumulative excess earnings of insider selling (reduction) on the announcement day and the time window after the announcement day are not obvious, and there is no significant announcement effect. Insider trading shows significant excess returns, and the accumulated excess returns before insider selling (reduction) announcement is more obvious.
2. The sample size of insider's buying behavior through bulk trading platform is too small, and the conclusion is not convincing. The empirical test results of insider's selling behavior through bulk trading platform show that there is no significant announcement effect at the time window after the announcement date and the announcement date. Several samples before the announcement date of insider's selling (reduction) are found. Trading day shows abnormal abnormal return characteristics.
3. In the short window (t+l, t+3) after the announcement day and the announcement day, the announcement effect of insider purchase (overweight) in the event group of large market value companies is the most significant. The cumulative excess rate of return is the highest, followed by the intermediate 40% circulation market value event group, and the smallest is the first 30% circulation market value and event group.
After different companies are grouped according to their current market value, the cumulative excess return rate after the announcement date and the announcement date of insider selling (reduction) is not significant.
4. In the short window period (t + 1, T + 3) after the announcement date and the announcement date, the announcement effect of the medium-sized transaction event group is the most significant; the announcement effect of the minimum transaction size event group in the long window (t + 1, T + 10) after the announcement date is the most significant; before the announcement date, the event group of the medium-sized transaction exists the most significant tiredness. Product excess return characteristics.
In the long time window (t + 1, T + 10) after the insider selling (reduction) announcement, significant cumulative excess returns were detected in the event group with the first 30% of transaction amount and circulation market value, while no significant cumulative excess returns were detected in the other event groups. The cumulative excess rate of return of the event group with the transaction amount and the top 30% of the market value is smaller than that of the other two event groups.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224

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