内幕交易的经济学分析  

The Economic Analysis of Insider Trading

作　　者：张新[1] 祝红梅[2] 

机构地区：[1]中国证券监督管理委员会 [2]清华大学经济管理学院

出　　处：《经济学（季刊）》2003年第1期71-96,共26页China Economic Quarterly

摘　　要：本文探讨了中国市场的内幕交易理论，在此基础上提出了4个可检验的假说：(1)内幕交易在中国必定存在；(2)内幕交易在中国比成熟市场更加严重；(3)重大事件中内幕交易的严重程度和管理层付出呈正比关系；(4)内幕交易多围绕利好消息。利用1078个并购重组事件和其他上市公司重大事件为样本，本文运用事件研究法，证实了上述假说。在此基础上，提出了中国内幕交易立法和监管的思路。This paper discusses insider trading theory in Chinese stock market and proposes 4testable hypotheses. (1) Insider trading exist in China; (2) Insider trading are more severe thanmature markets; (3) There exists a positive correlation between the degree of insider tradingsaround a corporate event and the management's efforts in accomplishing such an event; and (4)Insider trading usually occur with good corporate news. Our empirical tests, using 1078 M&Acases and other significant corporate events, verified these hypotheses. In the end, we discuss theimplications of the economic analysis on legislation and regulation on insider tradings.

关 键 词：内幕交易 中国市场 并购重组 上市公司 事件研究法 证券交易 

分 类 号：F832.51[经济管理—金融学]