| 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 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 991022179239303411.pdf | For All Users (off-campus access for PolyU Staff & Students only) | 1.74 MB | Adobe PDF | View/Open |
Copyright Undertaking
As a bona fide Library user, I declare that:
- I will abide by the rules and legal ordinances governing copyright regarding the use of the Database.
- I will use the Database for the purpose of my research or private study only and not for circulation or further reproduction or any other purpose.
- I agree to indemnify and hold the University harmless from and against any loss, damage, cost, liability or expenses arising from copyright infringement or unauthorized usage.
By downloading any item(s) listed above, you acknowledge that you have read and understood the copyright undertaking as stated above, and agree to be bound by all of its terms.
Please use this identifier to cite or link to this item:
https://theses.lib.polyu.edu.hk/handle/200/9810