中国股票市场内幕交易的形成机理与识别机制研究

发布时间：2018-04-20 22:22

本文选题：股票市场 + 内幕交易　；参考：《重庆大学》2012年博士论文

【摘要】：内幕交易在中国股票市场十分严重，干扰了股票市场的正常秩序，违背了股票市场的“公平、公正、公开”原则，损害了中小投资者的利益，不利于股票市场的健康发展。近年来，内幕交易问题已成为学术界关注的热点，从内幕交易的度量、策略、影响、监管等方面进行了广泛而深入的研究，而对于内幕交易的形成机理和识别机制方面研究较少，本文正是基于这样的原因而进行研究的。本文利用信息空间理论和数理模型，对股票市场内幕交易的形成机理进行了理论分析。然后，采用知情交易概率和买卖不平衡比率两种度量方法，对中国股票市场内幕交易的程度进行了度量，并对内幕交易的特征进行了分析。在此基础上，从多个角度揭示了影响中国股票市场内幕交易的主要因素，并利用相关数据，实证分析了中国股票市场内幕交易的市场反应，进一步利用基于粒子群优化的支持向量机模型，对中国股票市场的内幕交易进行识别。最后，在提出内幕交易防控原则的基础上，对内幕交易的监管进行了博弈分析，有针对性地提出内幕交易的防控建议及措施。 1.研究结论（1）内幕交易在上市公司信息公告期间时有发生，信息公告前期最为严重。论文通过知情交易概率和买卖不平衡比率两种度量方法，利用沪深两市2009年进行了重组、高送转、业绩预增和业绩预亏的A股上市公司的高频数据，对我国股票市场的内幕交易程度进行度量，发现内幕交易行为在我国上市公司信息公告期间时有发生，尤其在信息公告前期最为严重，说明内幕人员主要是在信息公告之前利用内幕信息进行内幕交易。另外，还发现中国股票市场内幕交易具有几个特征，即参与主体复杂化，交易方式多样化，交易行为具有隐蔽性，不同市场环境的内幕交易存在差别，内幕交易与其他违规违法行为时常同时发生，内幕交易以资产重组为主。（2）机构投资者和大户是内幕交易的参与主体和受益者。论文在理论分析的基础上，认为机构投资者和大户通过各种途径能够获取内幕信息，具有明显的信息优势，并利用内幕信息进行股票交易，以获取非法收益或规避风险，是我国股票市场内幕交易的参与主体和受益者；而中小投资者则在内幕交易过程中处于明显的信息劣势，是内幕交易的受害者。论文还从机构投资者和大户资金流向的角度，从实证方面进一步验证了这一观点。在此基础上，提出对内幕交易的监控对象重点应该集中在机构投资者和大户上，以提高内幕交易的监管效率。（3）上市公司治理结构的缺陷、信息透明度低、信息不对称、法制环境不佳是影响我国股票市场内幕交易的主要因素。论文利用行为金融理论、信息不对称理论、微观市场结构理论等，揭示了影响我国股票市场内幕交易的主要因素，包括：上市公司治理结构的缺陷、上市公司信息透明度较低、投资者之间的信息不对称，法律制度环境不佳等。另外，还发现在缺乏卖空机制的我国股票市场中，内幕人员利用利好信息进行内幕交易的概率大于利空信息。（4）内幕交易可以提高股票市场的信息效率，降低市场流动性，增加市场波动性。论文在文献回顾和理论分析的基础上，认为内幕交易虽然可以通过信息在市场中传播和扩散来提高信息效率，但会降低股票市场的市场流动性，增加市场波动性。并利用我国股票市场的相关数据进行实证检验，结果表明，内幕交易的程度与股票市场的信息效率呈显著的正相关，与股票市场的流动性呈显著的负相关，与股票市场的波动性呈显著的正相关，从而验证了上述观点。（5）从多方面采取有效的防控措施，才能降低内幕交易的发生。论文提出了防控内幕交易的三个原则，即“公开、公平、公正”原则，事前预警、事中监控与事后查处相结合的原则，政府监管与自律管理相结合的原则。在此基础上，认为要从构建内幕交易的预警机制，建立内幕交易的动态监控机制，加强对内幕交易的查处力度，构建多方联合管理的多层次监控体系，完善公司治理结构和信息披露制度，开展投资者教育，引导理性投资行为等方面来进行防控，才能降低内幕交易行为的发生。 2.主要创新（1）建立了基于信息空间理论的内幕交易形成机理的分析框架。针对学术界对内幕交易形成机理研究的薄弱，论文探索性地把信息空间理论运用其中，建立了基于信息空间理论的内幕交易形成机理的分析框架，拓展了研究的新视野，能够对内幕交易的形成机理有新的认识和理解，使研究结论更具说服力。（2）从多个角度揭示了中国股票市场内幕交易的影响因素。论文将信息不对称理论、行为金融学理论、市场微观结构理论与中国股票市场的实际相结合，利用相关上市公司的高频数据，从多个角度剖析了中国股票市场内幕交易的影响因素。同时，本文还实证检验了在缺乏卖空机制的我国股票市场中，内幕人员利用利好信息进行内幕交易的概率大于利空信息。（3）从资金流向的角度揭示了机构大户是内幕交易的参与主体和受益者。关于内幕交易的参与主体和受益者问题，学术界大都是从理论上进行探讨和研究的，缺乏实证的支撑。论文利用机构投资者和大户的资金流向，从实证的角度揭示了机构投资者和大户是内幕交易的参与主体和受益者，而不知情的中小投资者则是受害者。并在此基础上提出对内幕交易的监控对象应重点集中在机构投资者和大户上。（4）建立了基于粒子群优化支持向量机的内幕交易识别机制。论文利用基于粒子群优化的支持向量机模型，对我国股票市场的内幕交易行为进行识别，，这在同类研究中比较罕见。为了检验粒子群优化算法的有效性，还利用网格优化算法和遗传算法进行比较，发现该模型的识别效果最佳。同时，论文还发现该模型比Logit模型具有更高的分类精度和更好的泛化性能，对内幕交易的识别效果更好。此外，在解释变量的选择中，尝试性把股价信息含量引入其中，提高了内幕交易的识别效果。
[Abstract]:In recent years , insider trading has become a hot spot in the academic circle , and the research on the mechanism and mechanism of insider trading has been studied in recent years .

This paper makes a theoretical analysis on the formation mechanism of insider trading in China ' s stock market by using the theory of information space and mathematical model , and then analyzes the characteristics of insider trading .

1 . Conclusions of the study

( 1 ) The insider trading takes place in the period of the information announcement of listed companies , the most serious in the early stage of the information announcement . By using the high - frequency data of the A - share listed company , which has been restructured in 2009 by the two cities in Shanghai and Shenzhen , the insider trading behavior is measured by using the insider information in 2009 . In addition , it is found that the insider trading is mainly complicated by the information announcement . The insider trading is different . The insider trading and other illegal behaviors are often occurring at the same time , and the insider trading is mainly assets reorganization .

( 2 ) Institutional investors and big households are the main subjects and beneficiaries of insider trading . On the basis of theoretical analysis , it is believed that institutional investors and large households can obtain insider information through various ways , have obvious information advantages , and use the insider information to conduct stock transactions to obtain illegal earnings or avoid risk , which is the main body and beneficiary of the insider trading in the stock market of our country ;
On the basis of this , it is proposed to focus on institutional investors and large households to improve the supervision efficiency of insider trading .

( 3 ) The defects of governance structure of listed companies , low information transparency , asymmetric information and poor legal environment are the main factors that affect the insider trading in China ' s stock market .

( 4 ) The insider trading can improve the information efficiency of the stock market , reduce the market liquidity and increase the volatility of the market . In the paper , based on the literature review and the theoretical analysis , it is concluded that the insider trading can improve the information efficiency through the dissemination and diffusion of information in the market . The results show that the degree of the insider trading is positively correlated with the information efficiency of the stock market , which is negatively correlated with the liquidity of the stock market , and is positively correlated with the volatility of the stock market , thus verifying the above view .

This paper puts forward three principles of prevention and control of insider trading : the principles of openness , fairness , fairness , pre - warning , monitoring and post - investigation , and the principles of government regulation and self - discipline management .

2 . Main innovations

( 1 ) A framework for analyzing the formation mechanism of insider trading based on the theory of information space is established . In the light of the weakness of the research on the formation mechanism of insider trading in the academic circle , the paper probes into the analysis framework of the formation mechanism of insider trading based on the theory of information space , expands the new field of view , and has a new understanding and understanding of the formation mechanism of insider trading .

( 2 ) The influence factors of insider trading in China ' s stock market are revealed from a plurality of angles . In this paper , information asymmetry theory , behavioral finance theory , market microstructure theory and Chinese stock market are combined to analyze the influencing factors of insider trading in China ' s stock market from multiple angles .

( 3 ) From the perspective of the flow direction of funds , the main body and the beneficiary of insider trading are disclosed . In the case of the participation subject and beneficiaries of insider trading , the academic circles mostly discuss and study the financial flows of the insider trading , and lack empirical support . The paper uses institutional investors and large households to participate in the main body and the beneficiaries , while small and medium investors who are not familiar with the knowledge are the victims . On this basis , the author puts forward that the monitoring objects of insider trading should be focused on institutional investors and large households .

( 4 ) Based on particle swarm optimization support vector machine model , this paper identifies the behavior of insider trading in China ' s stock market by using the support vector machine model based on particle swarm optimization . In order to verify the effectiveness of particle swarm optimization algorithm , it is found that the model has better recognition effect than Logit model .

【学位授予单位】：重庆大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F224

【引证文献】