内幕交易：重大事项公告前的资金流向

发布时间：2018-03-18 13:55

  本文选题：资金流向　切入点：重大事项　出处：《清华大学》2014年博士论文　论文类型：学位论文

【摘要】：本文使用2010~2012年的样本，从资金流向这个新颖的角度研究中国股票市场上重大事项公告前的内幕交易。实证结果表明，属于好消息的业绩预告在公告前的资金流入大于属于坏消息的业绩预告在公告前的资金流入，分析师调高投资评级的股票在公告前后的资金流入大于分析师调低投资评级的股票在公告前后的资金流入，股东大额减持程度与股东大额减持前的资金流入呈负相关关系，并购重组成功前资金流入大于并购重组失败前资金流入，分红预案中分红数量与分红预案公告前机构买入量正相关，股权激励比例与股权激励成功前资金流入正相关。总体来说，，股票暴涨前资金流入大于股票暴跌前资金流入，股票暴涨前机构买入量大于股票暴跌前机构买入量，中国股票市场上重大事项公告前内幕交易明显。若重大事项是好消息，那么内幕交易者会提前买入；若重大事项是坏消息，那么内幕交易者会提前卖出。内幕交易者通过利用重大事项提前买入和卖出获取了超额收益。本文开拓了一个新的研究角度，研究结果有助于深化对中国股票市场上内幕交易手段的认识。
[Abstract]:Using samples from 2010 to 2012, this paper studies the insider trading before the announcement of major events in the Chinese stock market from the perspective of capital flow. The empirical results show that, The inflow of funds before the announcement is greater than that of the performance forecast for the bad news before the announcement. Before and after the announcement, the capital inflow of stocks with higher investment rating by analysts was greater than that of stocks with lower investment rating before and after the announcement, and the degree of large shareholder reduction was negatively correlated with the capital inflow before shareholders reduced their holdings. The inflow of funds before the success of M & A is greater than that before the failure of the merger and reorganization, and the amount of dividends in the dividend plan is positively related to the amount of institutional purchases before the announcement of the dividend plan. The proportion of equity incentives is positively related to the inflow of funds before the success of equity incentives. In general, capital inflows before the stock boom are greater than those before the stock crash, and the institutional purchases before the stock boom are greater than those before the stock crash. Insider trading is obvious before major events are announced on the Chinese stock market. If major events are good news, insider traders will buy ahead of time; if major events are bad news, Insider traders will sell ahead of time. Insider traders gain excess returns by using important items to buy and sell ahead of time. This paper opens up a new research perspective. The results are helpful to deepen the understanding of insider trading in Chinese stock market.
【学位授予单位】：清华大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51;F275

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