基于社会网络传递视角的内幕交易行为研究  

Research on Insider Trading Behavior from the Perspective of Social Network Transmission

作　　者：许荣[1] 徐一泽 冯荟凝 方明浩 Xu Rong;Xu Yize;Feng Huining;Fang Minghao

机构地区：[1]中国人民大学财政金融学院暨财政金融政策研究中心、保险研究所,北京100872 [2]中国人民大学财政金融学院,北京100872 [3]中国人民大学经济学院,北京100872

出　　处：《证券市场导报》2023年第6期28-40,共13页Securities Market Herald

摘　　要：依法从严打击内幕交易是我国金融监管的重要任务,也是推动资本市场高质量发展的重要保障。本文手工收集2007—2020年我国证监会公布的内幕交易行政处罚书中涉及的内幕信息和内幕交易数据,考察我国股市内幕交易的行为特征。研究发现:(1)从中美股市对比看,我国股市中消极型内幕信息占比更低,内幕信息泄露时间更长,内幕信息泄露期间和信息公告日的收益率绝对值更低。此外,我国股市中依托家人关系传递内幕信息的比例高于美国。(2)公司外部人尤其以朋友关系传递的内幕信息致使更高的内幕交易规模和收益率。(3)内幕交易显著提高了内幕信息泄露期间相关方的股票收益率。本文丰富了内幕交易学术文献,也为我国监管机构提升内幕交易监管效率提供了有益借鉴。Strictly cracking down on insider trading in accordance with the law is an important task for China’s financial supervision and an important guarantee for promoting high-quality development of the capital market.This paper manually collects insider information and insider trading data covered by the written decisions on the administrative penalty for insider trading published by the China Securities Regulatory Commission from 2007 to 2020 to examine the behavioral characteristics of insider trading in China’s stock market.The research finds that:(1)From the comparison of China’s and American stock markets,the proportion of negative insider information in China’s stock market is lower,the leakage time of insider information is longer,and the absolute value of the rate of return during the insider information leaking period and the information announcement day is lower.In addition,the proportion of insider information transmitted by family relationships in China’s stock market is higher than that in American stock market.(2)Insider information transmitted by the outsiders of companies,especially friend relationships,leads to higher insider trading scale and rate of return.(3)Insider trading significantly improves the rates of return of the stocks of related parties during the insider information period.This paper enriches the literature on insider trading,and provides useful reference for Chinese regulatory agencies to improve the efficiency of insider trading supervision.

关 键 词：内幕交易 内幕信息 社会关系 市场效率 

分 类 号：F832.5[经济管理—金融学]