中国上市公司控制权市场内幕交易的ARIMA监管模型的实证研究  

The Insider Trading ARIMA Regulation Model Empirical Study of Chinese Listing Corporations in the Control Right Market

作　　者：李香丽[1] 孙绍荣[2] 

机构地区：[1]石家庄经济学院商学院,河北石家庄050031 [2]上海理工大学管理学院,上海200093

出　　处：《西安财经学院学报》2015年第5期35-39,共5页Journal of Xi’an University of Finance & Economics

基　　金：国家自然科学基金项目(71171134);上海市哲学社会科学规划课题(2011BGL006);上海市一流学科建设项目(S1201YZXK)

摘　　要：文章随机选取2013年在上海证券交易所控制权发生转移的100名中国上市公司作为研究对象,选取日收益方差、日综合指数、日波动率和日风险因子等指标。因为所研究的数据,是以日为时间单位排列形成的序列,因此需要这些数据经过相同的差分后转化为平稳的时间序列,然后建立差分后的日收益方差为因变量,差分后的日综合指数、日波动率、日风险因子为自变量的关系模型,同时得出与日收益方差密切相关的量作为主要指标,然后用ARIMA模型分析这些主要指标在信息公告日前后的事件期和估计期间的特点,首先分析估计期主要指标的自相关系数和偏相关系数,其次建立估计期的ARIMA模型,由估计期的模型预测事件期,将预测的事件期与实际的事件期进行对比,分析在控制权转移过程中,中国上市公司是否存在内幕交易。The 100 Chinese listing corporations whose control right were transfered were selected randomly as the studying objection on the Shanghai stock exchange in 2013. The daily return variance, the daily com- prehensive indexes,the daily volatility and the daily risk factors were the indexes of the studing objection. Because the data series were arranged on a daily series, they must be converted into a stationary time series through the same difference. The relation model was established on the difference return variance as the de- pendent variable, the difference comprehensive indexes, the difference voliatility and the difference risk fac- tors as the variables. Then the main indexes which related closely with the daily return variance were found. The characteristics of the main indexes were analyzed before and after the informatin annouced by the ARIMA model. First the autocorrelation coefficient and part coefficient of the main indexes of estima- tion period were analyzed. Then the ARIMA model of the estimation period was established. The estimated period model predicted the events. Whether the insider trading of the Chinese listed corporations in the con- trol right market was present by comparing the predicting events with the practiced events.

关 键 词：内幕交易 控制权市场 ARIMA模型 事件期 估计期 

分 类 号：F830.91[经济管理—金融学]