内幕交易与股价同步性  

Insider Trading and Stock Price Synchronicity

作　　者：黄灿 李善民[2] 庄明明 黄志宏 

机构地区：[1]广东工业大学管理学院,广州510520 [2]中山大学管理学院,广州510275

出　　处：《管理科学》2017年第6期3-18,共16页Journal of Management Science

基　　金：国家社会科学基金(16ZDA012);国家自然科学基金(71372149;71702036);广东省哲学社会科学基金(GD17XYJ07;GD16XGL53);广州市哲学社会科学发展"十三五"规划马哲专项共建课题(2017GZMZGJ12)~~

摘　　要：关于内幕交易的好处和坏处以及监管的必要性是金融研究领域的热门话题。内幕交易破坏了市场秩序,损害了其他投资者的利益。然而,有一种观点却认为内幕交易对于将公司层面的特质信息更及时、更精确地融入股价有重要贡献,因而提升资本市场效率。基于该逻辑,内幕交易"似乎"客观上能带来公司特质信息,并呈现出较低的股价同步性。基于股价同步性的分析,利用2007年至2015年中国A股上市公司的数据,采用Stata软件以及控制行业和年度固定效应的OLS回归分析方法对内幕交易与股价同步性的真实关系进行实证检验。将知情交易概率作为测量内幕交易的指标,重新考察内幕交易对股价同步性的影响。在此基础上,进一步分析信息环境等因素对上述关系的影响。为了使研究结论更有说服力,从宏观、中观、微观3个层面考察信息环境的调节作用,尝试将内幕交易对股价同步性的影响区分为长期影响和短期影响,以更全面、更客观地认清内幕交易的真实影响。研究结果表明,内幕交易的确能降低当期股价同步性。但是,内幕交易的信息传递属于一种非正式渠道,其作用会受到信息环境的影响。当信息环境较好时,内幕交易对当期股价同步性的负向影响会削弱;当信息环境较差时,内幕交易对当期股价同步性的负向影响会加强。进一步研究发现,内幕交易会导致其他投资者的逆向选择并提升未来股价同步性,最终降低资本市场的效率。进一步探索内幕交易的真实影响,并在一定程度上反驳了内幕交易可以提升资本市场效率的说法,有利于提升广大投资者和监管部门对中国资本市场的认知。The costs and benefits of insider trading and the need for regulation have been a topic of heated discussions in the fi- nance research field. Insider trading destroy the market order and damage the interests of other investors. One view is that insider trading makes an important contribution with regard to the timely and accurate incorporation of firm-specific information into stock price, and improves stock price efficiency. Logically, insider trading seems to bring firm-specific information objectively and make a lower stock price synchronicity. However, we are skeptical of this. Based on the analysis of stock price synchronicity in the Chinese stock market, we select a dataset of Chinese l^sted firms from 2007 to 2015 as samples. We use STATA software and OLS regression analysis method for controlling industry and year fixed effect to make an empirical test of the real relationship between insider trading and stock price synchronicity. PIN（ probabil- ity of informed trading） has been used to measure the level of insider trading. This study further examines the effect of insider trading on stock price synchronicity with suspicious attitude. To elaborate, we further discuss the influence of information envi- ronment on the relationship aforementioned. In order to make this conclusion more convincing, this paper examines the modera- ting effect of the information environment from macro, meso, and micro perspectives. In order to have a comprehensive and ob- jective understanding of the real impact of insider trading, we try to divide the impact of insider trading on stock price synchronic- ity into the impact of long term and the impact of short term. The results of this paper show that insider trading can lower stock price synchronicity in the current period. But this is not the whole story. It has been found that insider trading is an informal channel of information transfer, whose impact depends on the information environment. When the information environment is better, the negative impact of insider tra

关 键 词：内幕交易 股价同步性 信息环境 公司特质信息 

分 类 号：F830.9[经济管理—金融学]