Author: 卢生江
Lu, Shengjiang
Title: 内部人交易的非对称性市场效应分析 : 基于中国A股上市公司的经验证据
Nei bu ren jiao yi de fei dui chen xing shi chang xiao ying fen xi : ji yu Zhongguo A gu shang shi gong si de jing yan zheng ju
Other Title: An empirical analysis of asymmetric market reactions to insider trading : evidence from listed companies in China
Advisors: 蒋励 (AF)
Degree: D.Mgt.
Year: 2018
Subject: Hong Kong Polytechnic University -- Dissertations
Insider trading in securities -- China
Department: Faculty of Business
Pages: xiv, 138 pages : color charts
Language: Chinese
Abstract: 本文以沪深交易所披露的我国A股上市公司2007年至2016年内部人买入卖出股票的交易数据为样本,研究发现内部人买入卖出交易在短窗口期都获得了显著的超额收益;尤其是内部人交易卖出交易超额累积收益的绝对值大于买入交易超额累积收益的绝对值,内部人交易的市场效应呈显著的非对称性。这个结果有别于前人在发达国家资本市场的研究结果。进一步的研究发现:内部人交易中董事长、总经理卖出交易的超额累积收益显著大于其他内部人交易的超额收益;财务总监在买入卖出交易中都能获得较高的超额收益;从年度信息披露质量评定等级对内部人交易超额收益的影响来看,年度信息披露质量评定等级越低的公司,内部人卖出交易获得的超额收益越高;从区域经济发展环境因素对内部人交易所获得的超额收益的影响来看,江浙沪上市公司内部人卖出交易获得的超额收益最低,广东省上市公司内部人卖出交易获得的超额收益最高。本文的经验证据表明了我国资本市场内部人利用私有信息交易获利的普遍性和严重性,揭示了内部人买入卖出交易可能因为包含的信息含量不同而导致的超额收益的不对称性,并验证了影响信息获利的限制和约束因素。
Rights: All rights reserved
Access: restricted access

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