摘要
本文采用事件研究法,对大股东内幕交易行为所造成的股票市场变量的波动进行了实证和检验。结果表明:上市公司的平均超额收益率在重大信息公告日前有所上升,公告日后则会显著下降;平均异常波动率在重大信息公告日前的较长时间内比较平稳在公告日前几天则会小幅增加,在信息公告前日或后日更会急剧放大,随后就急剧下降;日均换手率在信息公告日前急速放大,而在公告日后急速下降且在会告回前某一段时间比其他时间段都要大。只有建立违规甄别模型,加强对重大信息日的监测,规范、完善和推进信息披露制度、惩罚机制以及相关法律法规,才能更有效地抑制大股东内幕交易行为。
In this paper, we do the empirical analysis and test of some stock market variables＇ fluctuations caused from large share- holders＇ insider trading behavior by means of event study methodology. The results show that the company＇ s abnormal re- turn rate rose before the announcement day of important information and decreased significantly after it; the abnormal volatility rate remained stable during a long time before the announcement day of important information, then increased slightly in a few days before it, and finally had a sharp rise and decline before and after it; the abnormal turnover rate had a rapid ascend and drop before and after the announcement day of important information, respectively. Moreover, during a certain period of time before the announcement day, the abnormal turnover rate is greater than other time. Therefore, to establish the discriminating model and strengthen the monitoring of important information day, standardize, improve and promote the information disclosure system, punishment mechanism and the related laws and regulations are effective to in- hibit the large shareholders＇ insider trading behavior.
出处
《企业经济》
北大核心
2015年第1期181-184,共4页
Enterprise Economy
基金
2012中国博士后科学基金面上项目“基于矩阵分解的几类投资组合模型的优化算法与实证研究”(批准号2012M511014)
关键词
大股东东
内幕交易
事件研究法
large shareholder
inside trading
event study methodology
