短线机构投资者能抑制内幕交易吗?  

Can Short-term Institutional Investors Curb Insider Trading?

作　　者：王树强[1] 梁念 陈一旗 孟娣 Wang Shuqiang;Liang Nian;Chen Yiqi;Meng Di(School of Economics and Management,Hebei University of Technology,Tianjin 300401)

机构地区：[1]河北工业大学经济管理学院,天津300401

出　　处：《管理评论》2020年第5期26-41,共16页Management Review

摘　　要：短线机构投资者能否抑制内幕交易?学术界莫衷一是。本文在科学定义股市交易主体的基础上建立了短线机构投资者、内幕交易者和噪音交易者参与的两期交易动态博弈模型,并使用逆向归纳法求解了其子博弈精炼纳什均衡,同时对均衡解的影响因素进行了仿真分析和实证检验。结果显示,短线机构投资者对内幕交易存在有限抑制效应:当短线机构投资者的信息获取和研判能力提高时,内幕交易利润降低,抑制效果显现,但需以信息获取和研判能力超过一定阈值为前提;当短线机构投资者数量增加时,内幕交易利润降低,抑制效果显现,但存在短线机构投资者数量的边际抑制效应递减。因此,单一推进投资主体的机构化不一定对内幕交易产生自发的市场抑制,提升短线机构投资者理性水平是抑制内幕交易的关键。Can short-term institutional investors curb insider trading?There is no consensus of opinions in the academic.On the basis of scientifically defining the trade subject in stock market,this paper establishes a two-stage trading dynamic game model that involves short-term insider traders,institutional investors and noise traders and then solves its refined Nash equilibrium of the sub-game with the backward induction method.At the same time,the determinants of the equilibrium solution are simulated and verified.The results show that the short-term institutional investors can have a limited inhibitory effect on insider trading.When the short-term institutional investors’information acquisition and judgment ability improves and exceeds a certain threshold,the profit of insider trading will reduce,and the inhibitory effect will arise.When the number of short-term institutional investors increases,the profit of insider trading will decrease,and the inhibitory effect will arise,but there is a diminishing marginal inhibitory effect.In this way,the simple institutionalization of the investors does not curb necessarily and spontaneously the insider trading,and the rise of the rational level of the short-term institutional investors is the key to curbing insider trading.

关 键 词：短线机构投资者 内幕交易 理性水平 

分 类 号：F832.51[经济管理—金融学] F224