我国股票市场内幕交易的实证研究.pdf

摘要 论文首先对内幕交易的概念做了界定，并且对学者关于内幕交易的研究文献进行了综 述。在对事件研究法进行了一个简要的介绍后，以完成股权分置改革，在2007年发生整体 上市、资产注入、资产置换、收购兼并等重大事件的股票为样本，用该方法分析公告发布 前后的超额收益率和累积超额收益率的变动情况，并计算公告效应和内幕交易效应来揭示 我国股票市场内幕交易的严重程度。实证结果显示，在重大事件公告的前几天，股票的超 额收益率和累积超额收益率出现明显的异动，存在比较明显的内幕交易，计算公告效应和 内幕交易效应也得出了相同的结论。论文最后分析了发生内幕交易的原因，指出高额利益、 公司治理结构缺陷、处罚过轻、监管力度不足是发生内幕交易的主要原因，并就如何防止 内幕交易的发生提出了自己的政策建议。 关键词：内幕交易 事件研究法 超额收益率 累积超额收益率 III Abstract First ,the article gives a clear definition of insider trading and reviews the literatures on insider trading. After a introduction of the method of event study, the article chooses the stocks which have completed the non-tradable share reform and have the important events such as overall listing, assets injection, assets replacement, mergers and acquistions happened in 2007 as samples, and uses the method to analyze the fluctuations of abnormal returns and cumulative abnormal returns, and calculates the announcement effect and insider trading effect, to test the seriousness of the insider trading in China stock market. It shows that, before the announcement of the important event, the abnormal returns and cumulative abnormal returns have a clear fluctuation, we can see that, insider trading occurs before announcement day, it comes to the same conclusion in caculating the announcement effect and insider trading effect. In the end, this article points out that the huge returns, defects of corporate governance, too light of punishment, lack of supervising efficiency are the major reasons, and suggests some measures to prevent insider trading. Key words: insider trading event study abnormal returns cumulative abnormal