我国证券市场内幕交易预警机制研究.docVIP

摘要 当前证券市场的违规违法行为，主要集中在内幕交易、市场操纵、不公平披露等几个方面，内幕交易更是。所谓内幕交易，按照《证券法》的解释，是指证券交易内幕信息知情人或非法获取内幕信息的人，在内幕信息公开前买卖相关证券，或者泄露该信息，或者建议他人买卖相关证券的行为。市场欺诈理论本文以1993-200年被证监会公开查处的内幕交易股票分析样本平均日收益率率平均日换手率率ABSTRACT The behaviors of irregularities violations in the current stock market mainly concentrate in insider trading, market manipulation, unfair disclosure and other aspects. Insider trading is clandestine and unobservable. Insider trading is, as the law of securities explained, the behaviors that the persons who know the inside information buy and sell the stocks prior to the disclosure of information related to securities, or disclose the information or suggest others to buy and sell the stocks. With the samples of stocks which have experienced insider trading in Chinese security market，this article summarizes the general characteristic of the insider trading, grasps the development direction of insider trading and seeks new supervising mode. Then，the paper has outlined main research method about insider trading. Firstly, analyse the basic theory of research method about insider trading—the Fraud on the Market Theory: assuming that the price of stock can reflect the relevant information and the latent value, the falsehood statement may distort the direction of the price and the investors have made deals without the inside information. The theory applies that the price of stock can reflect the relevant information based on the theory of effective market. And then demonstrate the common method of studying the insider trading, including event studies, PPD method，Logistic analysis method and fuzzy nerve network model, compare the advantages and disadvantages of these methods. On the basic of event studies, PPD method with the single index, the paper adopts multi-index system with the method of logistic analysis and fuzzy nerve network model on the empirical research, so as to establish the insider trading warning model with the parameters obtained. This paper takes 12 cases of insi