基于期权平价原理的内幕交易管制设计  

The System Design for Insider Trading Regulation Based on the Principle of Call-put Parity

作　　者：叶德珠[1] 胡北平[2] 

机构地区：[1]暨南大学经济学院,广东广州510632 [2]广东金融学院经济贸易系,广东广州510521

出　　处：《广东金融学院学报》2008年第2期27-32,43,共7页Journal of Guangdong University of Finance

基　　金：广东省人文社科重点基地暨南大学创新团队项目(04SK2D03);教育部优秀博士论文专项基金项目(200403)

摘　　要：根据期权平价原理,股票、零息国债、欧式股票的买权与卖权等四类资产之间存在一种等价关系,因此每种资产都可由其他三个变量的投资组合来进行等价的表达。某些高管人员利用政府对分属于不同领域的投资组合的管制差异,以等价的期权投资组合替代股票交易从而进行变相内幕交易。中国证券监管部门有必要对管制制度安排进行优化,将衍生证券交易也纳入到内幕交易管制系统中来。According to the option parity theorem, there exists an equivalence relation between these four assets： shares, zero-coupon bonds, and the rights to buy and sell European-style shares so that the value of each asset can be expressed in the portfolio of the other three assets. Taking advantage of the different government measures for controlling ofthe portfolios in different areas, some Chinese senior management personnel engage in insider trading in disguise by substituting equivalent option portfolios for stock trading. It is therefore essential for China＇s securities regulatory authorities to improve their control measures to extend the system for controlling insider trading to the trading of derivative securities.

关 键 词：内幕交易 期权平价原理 套利管制 

分 类 号：F830.91[经济管理—金融学]