内部人交易监管能提升股票市场流动性吗  

Can Insider Regulation Trading Promote Stock Liquidity?

作　　者：潘京臣 顾露露[3,4] PAN Jingchen;GU Lulu

机构地区：[1]香港中文大学(深圳)经管学院,中国香港 [2]中国科学技术大学管理学院 [3]中南财经政法大学金融学院投资学系 [4]中南财经政法大学国际投资研究中心

出　　处：《金融监管研究》2024年第7期73-91,共19页Financial Regulation Research

基　　金：2021年国家自科基金面上项目《中美科技战与企业创新研究:基于被制裁企业的国内供应商视角》的资助,项目编号:72172158。

摘　　要：2017年5月26日,证监会发布了《上市公司股东、董监高减持股份的若干规定》,全面强化了A股市场内部人交易的治理监管。本文实证检验了2017年《减持规定》对上市公司股票流动性的影响。研究发现,《减持规定》实施以后,上市公司股票买卖价差显著下降,说明内部人交易监管促进了股票流动。机制检验发现,《减持规定》通过约束内部人减持套利、降低股价崩盘风险两个机制,提升了股票流动性水平;异质性分析发现,当上市公司为非国有控股、分析师关注度较低及未聘请“四大”会计师事务所时,《减持规定》对流动性的促进作用更加明显。本文回应了我国内部人交易监管存在的现实争议,研究结论有助于监管部门全面评估内部人交易监管的经济后果,为完善监管制度提供了政策启示。On May 26,2017,the China Securities Regulatory Commission revised and issued"Several Provisions on Selling Shares by Shareholders,Directors,Supervisors,and Senior Managers of Listed Companies",comprehensively strengthening the governance and supervision of insider trading in the A-share market.This paper empirically tests the impact of the 2017"Slling Regulations"on the liquidity of listed company stocks.Research has found that after the implementation of the"Selling Regulations",the bid-ask spread has significantly decreased,indicating that insider trading regulation has promoted stock liquidity.Mechanism testing finds that the"Selling Regulations"improve the liquidity of stocks by constraining insiders to arbitrage and reducing the risk of stock price crash.The heterogeneity analysis shows that when the listed company is non-state-owned,the analyst coverage is low,and the Big Four accounting firm is not hired,the effect of the"Selling Regulations"on liquidity promotion is more significant.This paper responds to the current controversies in the regulation of insider trading in China,and the research findings help regulatory authorities comprehensively evaluate the economic consequences of insider regulation,providing certain policy insights for improving regulatory systems.

关 键 词：交易监管 股票流动性 减持规定 内部人交易 

分 类 号：F830.9[经济管理—金融学]