文献类型：期刊文献

中文题名：上市公司大股东内幕交易行为对股票表现的影响

作者：俞绍文[1,2];张磊[3]

机构：[1]复旦大学金融研究院;[2]华东理工大学理学院;[3]华东政法大学国际法学院

年份：2015

卷号：0

期号：1

起止页码：181

中文期刊名：企业经济

外文期刊名：Enterprise Economy

收录：国家哲学社会科学学术期刊数据库;北大核心:【北大核心2014】；

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)

语种：中文

中文关键词：大股东东;内幕交易;事件研究法

外文关键词：large shareholder; inside trading; event study methodology

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.