本文選題：內(nèi)幕交易　切入點：Logistic判別模型　出處：《吉林大學》2013年碩士論文　論文類型：學位論文

【摘要】：內(nèi)幕交易的存在會嚴重影響證券市場有效的秩序，并對證券市場造成嚴重的危害，各國監(jiān)管部門和學者都在不斷地尋求有效杜絕內(nèi)幕交易發(fā)生的辦法和機制。同時，內(nèi)幕交易現(xiàn)具有兩種特性：普遍性和隱蔽性。這兩種特性的存在是目前監(jiān)管部門最難以逾越的屏障。當前，國內(nèi)外關于內(nèi)幕交易對股票價格影響的實證研究并不是很多，并且由于國外證券市場和我國證券市場在對投資者要求、企業(yè)上市要求和募集資金等方面都存在一定差異，所以本文主要選取了股票價格、換手率等數(shù)據(jù)為主要參考指標，借鑒國外對內(nèi)幕交易的判別體系，參考國內(nèi)學者研究成果，結(jié)合我國當今國情，對我國發(fā)生的內(nèi)幕交易案例進行研究分析，結(jié)合數(shù)據(jù)研究結(jié)果提出些許相關建議。 本篇論文以2012年年末中國證券監(jiān)督管理委員會確定發(fā)生的重大內(nèi)幕交易為樣本案例（多數(shù)樣本案例發(fā)生在2007年至2012年中），主要分析我國股票市場內(nèi)幕交易的主要特征，基于以下四個方面進行分析：內(nèi)幕交易的主體、內(nèi)幕交易信息類型、我國內(nèi)幕交易的主要處罰方式以及內(nèi)幕交易的主要特性。另一方面，本文會從內(nèi)幕交易對股票價格波動的影響、內(nèi)幕交易對換手率的影響、內(nèi)幕交易對股票收益率的影響以及如何判別內(nèi)幕交易等幾方面進行實證分析，研究發(fā)現(xiàn)內(nèi)幕交易期間股票價格和換手率與非內(nèi)幕交易期間相比有著明顯增加。并且在研究內(nèi)幕交易對股票收益率影響時發(fā)現(xiàn)從長期來看，信息公告使套期型交易增加，減少了信息不對稱，并且其減少的程度要稍強于短期與中期的效果。進一步，我們綜合考慮內(nèi)幕交易和非內(nèi)幕交易的正確判別率，利用Logistic模型給出了內(nèi)幕交易判別系統(tǒng)。 最后，根據(jù)本文的數(shù)據(jù)研究結(jié)果，基于我國目前證券市場存在的實際狀況，提出我國當前就內(nèi)幕交易監(jiān)管方面所存在的諸多問題，并給出些許防范內(nèi)幕交易的政策建議，以供參考。
[Abstract]:The existence of insider trading will seriously affect the effective order of the securities market and cause serious harm to the securities market. Regulators and scholars all over the world are constantly looking for ways and mechanisms to effectively stop insider trading. At the same time, At present, insider trading has two characteristics: universality and concealment. The existence of these two characteristics is the most difficult barrier for regulators at present. At present, there are not many empirical studies on the influence of insider trading on stock prices at home and abroad. And because there are some differences between the foreign securities market and China's securities market in the requirements of investors, listing requirements of enterprises and raising funds, so this paper mainly selects stock price, turnover rate and other data as the main reference indicators. Referring to the discriminant system of insider trading in foreign countries, referring to the research results of domestic scholars, combining the current situation of our country, the case of insider trading in China is studied and analyzed, and some relevant suggestions are put forward in combination with the results of data research. This paper takes the significant insider trading cases identified by the China Securities Regulatory Commission at the end of 2012 as a sample case (most of the sample cases occurred from 2007 to middle of 2012), and mainly analyzes the main characteristics of insider trading in China's stock market. Based on the analysis of the following four aspects: the subject of insider trading, the types of insider trading information, the main punishment methods of insider trading in China and the main characteristics of insider trading, on the other hand, This paper will analyze the influence of insider trading on stock price fluctuation, the influence of insider trading on turnover rate, the influence of insider trading on stock yield and how to judge insider trading. The study found that stock prices and turnover rates during insider trading increased significantly compared with those during non-insider trading. In the study of the influence of insider trading on stock returns, it was found that in the long run, information announcements increased hedging trading. The information asymmetry is reduced and the degree of reduction is slightly stronger than that in the short and medium term. Furthermore, considering the correct discriminant rate of insider trading and non-insider trading, we give a discriminant system of insider trading by using Logistic model. Finally, according to the research results of this paper, based on the actual situation of securities market in our country, this paper puts forward many problems existing in the supervision of insider trading in our country, and gives some policy suggestions on how to prevent insider trading. For reference.
【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

【參考文獻】

相關期刊論文 前10條

1 姜華東;喬曉楠;;內(nèi)幕交易監(jiān)管、投資者交易策略與市場利益分配[J];財經(jīng)研究;2010年05期

2 張宗新;朱偉驊;;證券監(jiān)管、執(zhí)法效率與投資者保護——基于國際經(jīng)驗的一種實證分析[J];財貿(mào)經(jīng)濟;2007年11期

3 王韌,曾國平;證券內(nèi)幕交易與投資“套牢”的經(jīng)濟分析[J];當代財經(jīng);2003年10期

4 攀登,鄒炎;內(nèi)幕交易與市場操縱的事件研究[J];當代經(jīng)濟管理;2005年05期

5 章衛(wèi)東;;定向增發(fā)新股、投資者類別與公司股價短期表現(xiàn)的實證研究[J];管理世界;2008年04期

6 朱紅軍;汪輝;;公平信息披露的經(jīng)濟后果——基于收益波動性、信息泄露及寒風效應的實證研究[J];管理世界;2009年02期

7 張穎;鄭學清;;股權激勵的市場反應及其內(nèi)幕交易的實證研究[J];華東經(jīng)濟管理;2008年12期

8 高勇;寧虹超;;論證券內(nèi)幕交易主體[J];哈爾濱商業(yè)大學學報(社會科學版);2010年02期

9 羅海林;楊秀青;;我國反內(nèi)幕交易立法之評析與建議[J];吉林工商學院學報;2010年01期

10 鐘偉強;張?zhí)煳?張燕妮;;自愿披露與公司治理——一項基于中國上市公司數(shù)據(jù)的實證分析[J];管理科學;2006年03期

，

本文編號：1566287