股票市场开放能否抑制上市公司的内幕交易行为--来自沪港通的经验证据  

Can stock market liberalization restrain the insider trading--Evidence from Shanghai-Hong Kong Stock Connect program

作　　者：李志辉 金波 Li Zhihui;Jin Bo

机构地区：[1]南开大学经济学院财金研究所,天津300071

出　　处：《东岳论丛》2022年第10期135-151,192,共18页DongYue Tribune

基　　金：国家自然科学基金面上项目“中国股票市场交易型操纵监测、影响与防范研究--基于分时高频数据云计算的实现”(批准号:71973070)

摘　　要：以我国沪港通制度的实施为背景,基于上市公司年度报告披露时期的股票异常换手率构建内幕交易指标,并利用双重差分模型探究沪港通的实施对上市公司内幕交易行为的影响。结果显示:沪港通制度的实施能够有效地抑制上市公司内幕交易行为。同时,对其传导机制进行深入探究发现,沪港通制度并不是通过信息渠道,而是通过内部控制渠道来抑制上市公司的内幕交易行为,即通过提高公司的内部控制质量来增加上市公司内幕交易的成本和操作难度。进一步研究发现,公司的产权性质、市场环境以及QFII持股状况对沪港通制度的实施与内幕交易之间的关系有显著的影响。据此,应进一步扩大股票市场开放,积极引进境外机构投资者,优化投资者结构,促进股票市场健康发展。With the trading data of Shanghai-Hong Kong Stock Connect in China,this paper constructs an insider trading index based on the abnormal stock turnover rate during the disclosure period of the annual report of listed companies and study the impact of the implementation of Shanghai-Hong Kong Stock Connect on the insider trading behavior with double difference model.The results show that the implementation of Shanghai-Hong Kong Stock Connect can effectively restrain the insider trading behavior.Meanwhile,Shanghai-Hong Kong Stock Connect mechanism suppresses the insider trading behavior of listed companies through internal control channel,instead of information channel,by improving the quality of internal control to increase the cost and difficulty of insider trading of listed companies.Further research found that the nature of company property rights,the market environment and QFII shareholdings have an important impact on the Shanghai-Hong Kong Stock Connect and insider trading.Accordingly,We should further expand the openness of the stock market,introduce foreign institutional investors,optimize the investor structure and promote the healthy development of the stock market.

关 键 词：沪港通制度 内幕交易 信息不对称 内部控制 资本市场 信息披露 

分 类 号：F830.91[经济管理—金融学]