内幕操纵、市场反应与行为识别  

Insider Manipulation,Market Reaction and Action Discrimination

作　　者：张宗新[1] 沈正阳 

机构地区：[1]复旦大学金融研究院,上海200433 [2]东北证券公司研究所,上海200002

出　　处：《金融研究》2007年第06A期120-135,共16页Journal of Financial Research

基　　金：国家社科基金"证券市场内幕交易行为及其规制研究"(06CJY038);国家自然科学基金项目(70303006)的研究成果。

摘　　要：尽管世界各国证券监管部门一直致力于内幕操纵行为监管与防范,但是内幕操纵行为仍时有发生,其重要原因在于内幕操纵行为复杂性与难以甄别性,致使反操纵司法程序的难予执行性。针对反内幕操纵执法难题,本文以国内证券市场发生的内幕信息操纵为样本。对内幕操纵股票在超额收益、波动性、流动性以及贝塔系数等市场反应指标的动态特征进行实证分析,在此基础上借鉴数据挖掘的思想,在采纳Logistic判别模型和决策树判别模型对内幕信息操纵行为进行识别。Though the securities regulatory bodies in the world commit themselves to supervise the insider ma-nipulation, but the insider manipulation takes place now and again. The main reason is the complexity of the manipulation and it is difficult to discriminate the behavior and to conduct the justice procedure of anti-manip-ulation. The authors take the sample of the companies which occurred manipulation in Chinese stock market, empirically analyzes the dynamic characters of market reaction indexes and discriminate the behavior of insider manipulation based on the ideas of data mine, Logistic model as well as Decision-Tree model.

关 键 词：内幕信息操纵 市场反应 LOGISTIC模型 决策树模型 

分 类 号：F830.91[经济管理—金融学]